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Forecasting with Bayesian vector autoregressions four years of experience

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  • Robert B. Litterman

Abstract

Replaced by Working Paper 274 (July 1985)

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File URL: http://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=376
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File URL: http://minneapolisfed.org/research/sr/sr95.pdf
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Bibliographic Info

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

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

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References

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  1. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
  2. Robert J. Gordon & James A. Wilcox, 1978. "Monetarist Interpretations of the Great Depression: An Evaluation and Critique," NBER Working Papers 0300, National Bureau of Economic Research, Inc.
  3. Leamer, Edward E, 1972. "A Class of Informative Priors and Distributed Lag Analysis," Econometrica, Econometric Society, vol. 40(6), pages 1059-81, November.
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Cited by:
  1. Peter C.B. Phillips, 1985. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Cowles Foundation Discussion Papers 765, Cowles Foundation for Research in Economics, Yale University.
  2. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers 768, Cowles Foundation for Research in Economics, Yale University.
  3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  4. Ray C. Fair & Robert J. Shiller, 1987. "Econometric Modeling as Information Aggregation," Cowles Foundation Discussion Papers 833R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1988.
  5. Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.

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