Forecasting with Bayesian vector autoregressions four years of experience

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Forecasting with Bayesian vector autoregressions four years of experience

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Robert B. Litterman

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Robert Litterman

Abstract

Replaced by Working Paper 274 (July 1985)

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Paper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 95.

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Date of creation: 1984
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Handle: RePEc:fip:fedmsr:95

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This paper has been announced in the following NEP Reports:

NEP-ALL-2002-03-14 (All new papers)
NEP-ETS-2002-03-14 (Econometric Time Series)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Leamer, Edward E, 1972. "A Class of Informative Priors and Distributed Lag Analysis," Econometrica, Econometric Society, vol. 40(6), pages 1059-81, November. [Downloadable!] (restricted)
Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis. [Downloadable!]
Robert J. Gordon & James A. Wilcox, 1981. "Monetarist Interpretations of the Great Depression: An Evaluation and Critique," NBER Working Papers 0300, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall. [Downloadable!]
Ray C. Fair & Robert J. Shiller, 1990. "Econometric Modeling as Information Aggregation," NBER Working Papers 2233, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Ray C. Fair & Robert J. Shiller, 1987. "Econometric Modeling as Information Aggregation," Cowles Foundation Discussion Papers 833R, Cowles Foundation, Yale University, revised Jan 1988. [Downloadable!]
Peter C.B. Phillips, 1985. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Cowles Foundation Discussion Papers 765, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 3(01), pages 45-68, February. [Downloadable!]
Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation, Yale University. [Downloadable!]
Other versions:
- Phillips, P C B & Durlauf, S N, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Blackwell Publishing, vol. 53(4), pages 473-95, August. [Downloadable!] (restricted)
Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation, Yale University, revised Feb 1986. [Downloadable!]
Other versions:
- Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)

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