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Forecasting with Bayesian vector autoregressions five years of experience

  • Robert B. Litterman

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File URL: http://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=549
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File URL: http://www.minneapolisfed.org/research/WP/WP274.pdf
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Paper provided by Federal Reserve Bank of Minneapolis in its series Working Papers with number 274.

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Date of creation: 1985
Date of revision:
Publication status: Published in Economic forecasting (Vol. 1, 1999, pp. 354-85) ; Journal of Business and Economic Statistics (Vol. 4, No. 1, January 1986, pp. 25-38)
Handle: RePEc:fip:fedmwp:274
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  1. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-88, July.
  2. Robert E. Lucas, Jr. & Thomas J. Sargent, 1979. "After Keynesian macroeconomics," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr.
  3. 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.
  4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  5. Leamer, Edward E, 1972. "A Class of Informative Priors and Distributed Lag Analysis," Econometrica, Econometric Society, vol. 40(6), pages 1059-81, November.
  6. 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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