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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/WP/WP115.pdf
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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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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.:
  1. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January. [Downloadable!] (restricted)
  2. 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, vol. 3(3), pages 273-296, August. [Downloadable!] (restricted)
  3. Chow, Gregory C, 1973. "Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods," Econometrica, Econometric Society, vol. 41(1), pages 109-18, January. [Downloadable!] (restricted)
  4. 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)
  5. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-88, July. [Downloadable!] (restricted)
  6. Sargent, Thomas J, 1978. "Estimation of Dynamic Labor Demand Schedules under Rational Expectations," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 1009-44, December. [Downloadable!] (restricted)
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  7. Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis. [Downloadable!]
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