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Forecasting with Bayesian vector autoregressions four years of experience


  • Robert B. Litterman


Replaced by Working Paper 274 (July 1985)

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  • Robert B. Litterman, 1984. "Forecasting with Bayesian vector autoregressions four years of experience," Staff Report 95, Federal Reserve Bank of Minneapolis.
  • Handle: RePEc:fip:fedmsr:95

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    References listed on IDEAS

    1. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
    2. Leamer, Edward E, 1972. "A Class of Informative Priors and Distributed Lag Analysis," Econometrica, Econometric Society, vol. 40(6), pages 1059-1081, November.
    3. 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.
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    Cited by:

    1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    2. Ray C. Fair & Robert J. Shiller, 1987. "Econometric Modeling as Information Aggregation," NBER Working Papers 2233, National Bureau of Economic Research, Inc.
    3. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 473-495.
    4. Phillips, P. C. B., 1987. "Asymptotic Expansions in Nonstationary Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 3(01), pages 45-68, February.
    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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