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Forecasting and policy analysis with Bayesian vector autoregression models

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  • Robert B. Litterman

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Bibliographic Info

Article provided by Federal Reserve Bank of Minneapolis in its journal Quarterly Review.

Volume (Year): (1984)
Issue (Month): Fall ()
Pages:

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Handle: RePEc:fip:fedmqr:y:1984:i:fall:n:v.8no.4:x:2

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References

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  1. Robert B. Litterman, 1982. "Optimal Control of the Money Supply," NBER Working Papers 0912, National Bureau of Economic Research, Inc.
  2. Brunner, Karl & Meltzer, Allan H., 1976. "The Phillips curve," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 1-18, January.
  3. Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
  4. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
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Citations

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Cited by:
  1. Frank Smets & Rafael Wouters, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
  2. Yochanan Shachmurove, 2001. "Dynamic Co-movements of Stock Indices: The Emerging Middle Eastern and the United States Markets," Penn CARESS Working Papers ddffc4204cf90a8523fb64134, Penn Economics Department.
  3. Massimiliano Marcellino & Yuliya Rychalovska, 2012. "An estimated DSGE model of a Small Open Economy within the Monetary Union: Forecasting and Structural Analysis," RSCAS Working Papers 2012/34, European University Institute.
  4. McIntosh, Christopher S. & Park, Timothy A. & Karnum, Chandrasekar, 1997. "The Potential Impact of Nutrient Management Legislation on the U.S. Broiler Industry," 1997 Annual Meeting, July 13-16, 1997, Reno\Sparks, Nevada 35899, Western Agricultural Economics Association.
  5. Ansari, M. I., 1996. "Monetary vs. fiscal policy: Some evidence from vector autoregression for India," Journal of Asian Economics, Elsevier, vol. 7(4), pages 677-698.
  6. Koen Pauwels & Imran Currim & Marnik Dekimpe & Dominique Hanssens & Natalie Mizik & Eric Ghysels & Prasad Naik, 2004. "Modeling Marketing Dynamics by Time Series Econometrics," Marketing Letters, Springer, vol. 15(4), pages 167-183, December.
  7. Kenny, Geoff & Meyler, Aidan & Quinn, Terry, 1998. "Bayesian VAR Models for Forecasting Irish Inflation," MPRA Paper 11360, University Library of Munich, Germany.
  8. Auguste Mpacko Priso & Sandrine Lardic, 1999. "Une comparaison des prévisions des experts à celles issues des modèles B VAR," Économie et Prévision, Programme National Persée, vol. 140(4), pages 161-180.
  9. Espinosa Acuña, Óscar A. & Vaca González, Paola A. & Avila Forero, Raúl A., 2013. "Elasticidades de demanda por electricidad e impactos macroecon_omicos del precio de la energía eléctrica en Colombia || Elasticity of Electricity Demand and Macroeconomics Impacts of Electricity Pri," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 16(1), pages 216-249, December.
  10. Racette, Daniel & Raynauld, Jacques & Lauzon, Simon, 1992. "La règle monétaire de McCallum revue à la lumière de la méthodologie de Litterman," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 262-282, mars et j.
  11. Ford, Stephen A., 1986. "A Beginner'S Guide To Vector Autoregression," Staff Papers 13527, University of Minnesota, Department of Applied Economics.
  12. Robert B. Litterman, 1986. "The limits of counter-cyclical monetary policy: an analysis based on optimal control theory and vector autoregressions," Working Papers 297, Federal Reserve Bank of Minneapolis.
  13. Bouoiyour, Jamal & Rey, Serge, 1995. "Chocs externes et ajustements des taux de change réels européens
    [External shocks and adjustment of European real exchange rates]
    ," MPRA Paper 30241, University Library of Munich, Germany.

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