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Bayesian prediction with cointegrated vector autoregressions

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  • Villani, Mattias

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Bibliographic Info

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

Volume (Year): 17 (2001)
Issue (Month): 4 ()
Pages: 585-605

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Handle: RePEc:eee:intfor:v:17:y:2001:i:4:p:585-605

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

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  1. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 23, January.
  2. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  3. LeSage, James P, 1990. "A Comparison of the Forecasting Ability of ECM and VAR Models," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 664-71, November.
  4. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
  5. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
  6. John F. Geweke, 1995. "Bayesian reduced rank regression in econometrics," Working Papers 540, Federal Reserve Bank of Minneapolis.
  7. Bauwens, L. & Lubrano, M., . "Identification restrictions and posterior densities in cointegrated Gaussian VAR system," CORE Discussion Papers RP -1206, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Kadiyala, K. Rao & Karlsson, Sune, 1994. "Numerical Aspects of Bayesian VAR-modeling," Working Paper Series in Economics and Finance 12, Stockholm School of Economics.
  9. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
  10. Thompson, Patrick A & Miller, Robert B, 1986. "Sampling the Future: A Bayesian Approach to Forecasting from Univariate Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 427-36, October.
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Cited by:
  1. Christoffel, Kai & Warne, Anders & Coenen, Günter, 2010. "Forecasting with DSGE models," Working Paper Series 1185, European Central Bank.
  2. Patricio Jaramillo, 2008. "Estimación de Var Bayesianos para la Economía Chilena," Working Papers Central Bank of Chile 508, Central Bank of Chile.
  3. Koop, G. & Strachan, R.W. & van Dijk, H.K. & Villani, M., 2005. "Bayesian approaches to cointegratrion," Econometric Institute Research Papers EI 2005-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada.
  5. 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.
  6. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
  7. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden).

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