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Techniques of forecasting using vector autoregressions

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  • Robert B. Litterman

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File URL: http://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=529
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File URL: http://www.minneapolisfed.org/research/WP/WP115.pdf
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Bibliographic Info

Paper provided by Federal Reserve Bank of Minneapolis in its series Working Papers with number 115.

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Date of creation: 1979
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Handle: RePEc:fip:fedmwp:115

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  1. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 2(1), pages 7-46, May.
  2. Thomas J. Sargent, 1978. "Estimation of dynamic labor demand schedules under rational expectations," Staff Report, Federal Reserve Bank of Minneapolis 27, Federal Reserve Bank of Minneapolis.
  3. Robert E. Lucas, Jr. & Thomas J. Sargent, 1979. "After Keynesian macroeconomics," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Spr.
  4. Wecker, William E, 1979. "Predicting the Turning Points of a Time Series," The Journal of Business, University of Chicago Press, vol. 52(1), pages 35-50, January.
  5. Brunner, Karl & Meltzer, Allan H., 1976. "The Phillips curve," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 1(1), pages 1-18, January.
  6. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, Econometric Society, vol. 41(4), pages 775-88, July.
  7. Leamer, Edward E, 1972. "A Class of Informative Priors and Distributed Lag Analysis," Econometrica, Econometric Society, Econometric Society, vol. 40(6), pages 1059-81, November.
  8. Barr Rosenberg, 1973. "A Survey Of Stochastic Parameter Regression," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 380-396 National Bureau of Economic Research, Inc.
  9. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, Elsevier, vol. 1(1), pages 19-46, January.
  10. Chow, Gregory C, 1973. "Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods," Econometrica, Econometric Society, Econometric Society, vol. 41(1), pages 109-18, January.
  11. Swamy, P. A. V. B. & Rappoport, Paul N., 1975. "Relative efficiencies of some simple Bayes estimators of coefficients in dynamic models -- I," Journal of Econometrics, Elsevier, Elsevier, vol. 3(3), pages 273-296, August.
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