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Techniques of forecasting using vector autoregressions

  • 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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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. Thomas J. Sargent, 1978. "Estimation of dynamic labor demand schedules under rational expectations," Staff Report 27, 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 1059-81, November.
  3. 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.
  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. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  6. 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.
  7. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
  8. Chow, Gregory C, 1973. "Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods," Econometrica, Econometric Society, vol. 41(1), pages 109-18, January.
  9. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-88, July.
  10. Brunner, Karl & Meltzer, Allan H., 1976. "The Phillips curve," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 1-18, January.
  11. Robert E. Lucas, Jr. & Thomas J. Sargent, 1979. "After Keynesian macroeconomics," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr.
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