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A Beginner'S Guide To Vector Autoregression

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  • Ford, Stephen A.

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  • Ford, Stephen A., 1986. "A Beginner'S Guide To Vector Autoregression," Staff Papers 13527, University of Minnesota, Department of Applied Economics.
    • Handle: RePEc:ags:umaesp:13527
    DOI: 10.22004/ag.econ.13527
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    References listed on IDEAS

    as
    1. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    2. Thomas J. Sargent, 1979. "Estimating vector autoregressions using methods not based on explicit economic theories," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 3(Sum).
    3. Nerlove, Marc & Grether, David M. & Carvalho, José L., 1979. "Analysis of Economic Time Series," Elsevier Monographs, Elsevier, edition 1, number 9780125157506 edited by Shell, Karl.
    4. Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 8(Fall).
    5. Orden, David, 1984. "Capital Flows, The Exchange Rate And Agricultural Commodity Markets: Some Empirical Evidence," 1984 Annual Meeting, August 5-8, Ithaca, New York 279070, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
    7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    8. Christopher A. Sims, 1986. "Are forecasting models usable for policy analysis?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 10(Win), pages 2-16.
    9. Paul A. Anderson, 1979. "Help for the regional economic forecaster: vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 3(Sum).
    10. Robert B. Litterman, 1984. "Forecasting and policy analysis with Bayesian vector autoregression models," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 8(Fall).
    11. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    12. Litterman, Robert, 1986. "A statistical approach to economic forecasting : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 1-4," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
    13. Litterman, Robert, 1986. "Forecasting with Bayesian vector autoregressions -- Five years of experience : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
    14. Brian S. Fisher, 1982. "Rational Expectations in Agricultural Economics Research and Policy Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(2), pages 260-265.
    15. David A. Bessler, 1984. "Relative Prices and Money: A Vector Autoregression on Brazilian Data," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(1), pages 25-30.
    16. Sargent, Thomas J, 1984. "Autoregressions, Expectations, and Advice," American Economic Review, American Economic Association, vol. 74(2), pages 408-415, May.
    17. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
    18. David A. Bessler & John L. Kling, 1986. "Forecasting Vector Autoregressions with Bayesian Priors," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 68(1), pages 144-151.
    19. Robert G. Chambers, 1984. "Agricultural and Financial Market Interdependence in the Short Run," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 66(1), pages 12-24.
    20. Litterman, Robert B, 1986. "A Statistical Approach to Economic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 1-4, January.
    21. Fair, Ray C, 1979. "An Analysis of the Accuracy of Four Macroeconometric Models," Journal of Political Economy, University of Chicago Press, vol. 87(4), pages 701-718, August.
    22. David A. Bessler, 1984. "An Analysis of Dynamic Economic Relationships: An Application to the U.S. Hog Market," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 32(1), pages 109-124, March.
    23. Sims, Christopher A, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," American Economic Review, American Economic Association, vol. 70(2), pages 250-257, May.
    24. Robert B. Litterman & Thomas M. Supel, 1983. "Using vector autoregressions to measure the uncertainty in Minnesota's revenue forecasts," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 7(Spr).
    25. Orden, David Robert, 1984. "Capital Flows, the Exchange Rate, and Agricultural Commodity Markets," Faculty and Alumni Dissertations 322833, University of Minnesota, Department of Applied Economics.
    26. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 8(Fall).
    27. Robert B. Litterman, 1984. "Specifying vector autoregressions for macroeconomic forecasting," Staff Report 92, Federal Reserve Bank of Minneapolis.
    28. Orden, David, 1982. "Preliminary Empirical Evidence Concerning An Asset Theory Model Of Markets For Storable Agricultural Commodities," Staff Papers 14087, University of Minnesota, Department of Applied Economics.
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    Cited by:

    1. Ran, Guanghe & In, Francis & Dillon, John L., 1995. "Effects of agricultural production fluctuations on the Chinese macroeconomy," Agricultural Economics, Blackwell, vol. 12(1), pages 69-78, April.
    2. Seale, James L., Jr. & Moss, Charles B., 1989. "The Overshooting Hypothesis: Are Agricultural Exports More Sensitive?," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270704, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Ford, Stephen A., 1986. "An Application Of Bayesian Vector Autoregression To The U.S. Turkey Market," Staff Papers 13982, University of Minnesota, Department of Applied Economics.
    4. Sospeter N. Onchoke & Francis In, 1998. "An evaluation of export revenues as determinants of economic growth in the South Pacific island nations," Journal of International Development, John Wiley & Sons, Ltd., vol. 10(7), pages 857-869.

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