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Forecasting with Bayesian vector autoregressions four years of experience

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  • Robert B. Litterman

Abstract

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

    as
    1. Leamer, Edward E, 1972. "A Class of Informative Priors and Distributed Lag Analysis," Econometrica, Econometric Society, vol. 40(6), pages 1059-1081, November.
    2. 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.
    3. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
    Full references (including those not matched with items on IDEAS)

    Citations

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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," The Review of Economic Studies, Review of Economic Studies Ltd, 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(1), pages 45-68, February.
    5. Rahul Verma & Hasan Baklaci & Gokce Soydemir, 2008. "The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(16), pages 1303-1317.
    6. Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 8(Fall).

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