Forecasting cointegrated series with BVAR models

Journal of Forecasting

Volumn 18, Issue 7, 1999, Pages 463-476

  Amisano, Gianni ^a   Serati, Massimiliano ^b,c  

^a UNIVERSITY OF BRESCIA   (Italy)

^b UNIVERSITY OF PAVIA   (Italy)

^c CREMS Centre for Research on Health Economics Social and Health Care Management Carlo Cattaneo University LIUC   (Italy)

Author keywords

Bayesian vector autoregressions; Cointegration; Kalman filter; Unit roots

Indexed keywords

EID: 2242430277     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-131X(199912)18:7<463::AID-FOR732>3.0.CO;2-D     Document Type: Article

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