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Bayesian long-run prediction in time series models

  • Koop, Gary
  • Osiewalski, Jacek
  • Steel, Mark F. J.

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4007D8M-8/2/9ef36493ff4db5096acef559c1069af1
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 69 (1995)
Issue (Month): 1 (September)
Pages: 61-80

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Handle: RePEc:eee:econom:v:69:y:1995:i:1:p:61-80
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Osiewalski, Jacek & Steel, Mark F. J., 1993. "Robust bayesian inference in elliptical regression models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 345-363.
  2. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, vol. 81(3), pages 600-617, June.
  3. Fuller, Wayne A. & Hasza, David P., 1980. "Predictors for the first-order autoregressive process," Journal of Econometrics, Elsevier, vol. 13(2), pages 139-157, June.
  4. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  5. Uhlig, Harald, 1994. "What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 645-671, August.
  6. Dreze, Jacques H., 1977. "Bayesian regression analysis using poly-t densities," Journal of Econometrics, Elsevier, vol. 6(3), pages 329-354, November.
  7. Thompson, Patrick A & Miller, Robert B, 1986. "Sampling the Future: A Bayesian Approach to Forecasting from Univariate Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 427-36, October.
  8. Peter C.B. Phillips, 1990. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Cowles Foundation Discussion Papers 950, Cowles Foundation for Research in Economics, Yale University.
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