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Multiple cointegrating vectors, error correction, and forecasting with Litterman's model

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  • Shoesmith, Gary L.

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Bibliographic Info

Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 11 (1995)
Issue (Month): 4 (December)
Pages: 557-567

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Handle: RePEc:eee:intfor:v:11:y:1995:i:4:p:557-567

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Web page: http://www.elsevier.com/locate/ijforecast

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Cited by:
  1. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
  2. Chow, Hwee Kwan & Choy, Keen Meng, 2006. "Forecasting the global electronics cycle with leading indicators: A Bayesian VAR approach," International Journal of Forecasting, Elsevier, vol. 22(2), pages 301-315.
  3. Ricardo Mourinho Félix & Luís Catela Nunes, 2003. "Forecasting Euro Area Aggregates with Bayesian VAR and VECM Models," Working Papers w200304, Banco de Portugal, Economics and Research Department.
  4. Florkowski, Wojciech J. & Lai, Yue, 1997. "Cointegration Between Prices of Pecans and Other Edible Nuts: Forecasting and Implications," 1997 Annual Meeting, July 13-16, 1997, Reno\Sparks, Nevada 35870, Western Agricultural Economics Association.
  5. Hao, Na & Seong, Byeongchan & Park, Cheolwoo & Colson, Gregory & Karali, Berna & Wetzstein, Michael, 2013. "Drought, Biofuel, and Livestock," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 149957, Agricultural and Applied Economics Association.
  6. Varshavsky, Alexander, 2009. "Questionable Innovations in Data Processing with Incomplete Information about the Analyzed System in Absence of Applications Limitations," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 16(4), pages 116-133.
  7. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
  8. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
  9. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
  10. Bewley, Ronald, 1997. "The forecast process and academic research," International Journal of Forecasting, Elsevier, vol. 13(4), pages 433-437, December.

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