Forecasting with bayesian vector autoregressions—five years of experience

Journal of Business and Economic Statistics

Volumn 4, Issue 1, 1986, Pages 25-38

  Litterman, Robert B ^a  

^a FEDERAL RESERVE BANK OF MINNEAPOLIS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84952504842     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1986.10509491     Document Type: Article

References (22)

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2. Brunner, Karl (ed.) (1981), The Great Depression Revisited, Boston: Nijhoff.
3. Doan, Thomas, Litterman, Robert, and Sims, Christopher (1984), “Forecasting and Conditional Projection Using Realistic Prior Distributions,” Econometric Reviews, 3, 1-144.
4. Eckstein, Otto (1983), The DRI Model of the U.S. Economy, New York: McGraw-Hill.
5. Gordon, Robert J., and Wilcox, James A. (1981), “Monetarist Interpretations of the Great Depression: An Evaluation and Critique,” in The Great Depression Revisited, ed. Karl Brunner, Boston: Nijhoff, pp. 49-107.
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7. Learner, Edward E. (1972), “A Class of Informative Priors and Distributed Lag Analysis,” Econometrica, 40, 1059-1081.
8. Litterman, Robert B. (1980), “A Bayesian Procedure for Forecasting With Vector Autoregression,” Working Paper, Massachusetts Institute of Technology, Dept, of Economics.
9. Litterman, Robert B. (1982), “Optimal Control of the Money Supply,” Federal Reserve Bank of Minneapolis Quarterly Review, 6 (Fall), 1-9.
10. Litterman, Robert B. (1984a), “Above-Average National Growth in 1985 and 1986,” Federal Reserve Bank of Minneapolis Quarterly Review, 4 (Fall), 3-7.
11. Litterman, Robert B. (1948b), “The Costs of Intermediate Targeting,” Working Paper 254, Federal Reserve Bank of Minneapolis, Research Dept.
12. Litterman, Robert B. (1984c), “Forecasting and Policy Analysis With Bayesian Vector Autoregression Models,” Federal Reserve Bank of Minneapolis Quarterly Review, 4 (Fall), 30-41.
13. Litterman, Robert B.(1984d), “Specifying Vector Autoregressions for Macroeconomic Forecasting,” Staff Report 92, Federal Reserve Bank of Minneapolis, Research Dept. (See also Bayesian Inference and Decision Techniques With Applications: Essays in Honor of Bruno de Finetti, eds. P. Goel and A. Zellner, Amsterdam: North-Holland, in press.)
14. Litterman, Robert B., and Supel, Thomas M. (1983), “Using Vector Autoregressions to Measure the Uncertainty in Minnesota’s Revenue Forecasts,” Federal Reserve Bank of Minneapolis Quarterly Review, 7 (Spring), 10-22.
15. Lucas, Robert E., Jr., and Sargent, Thomas J. (1978), “After Keynesian Macroeconomics,” in After the Phillips Curve: Persistence of High Inflation and High Unemployment, Boston: Federal Reserve Bank of Boston, pp. 49-72.
16. Lupoletti, William M., and Webb, Roy H. (1984), “Defining and Improving the Accuracy of Macroeconomic Forecasts: Contributions From a VAR model,” Working Paper 84-6, Federal Reserve Bank of Richmond.
17. Meltzer, Allan H. (1981), Comments on “Monetarist Interpretations of the Great Depression,” in The Great Depression Revisited, ed. Karl Brunner, Boston: Nijhoff, pp. 148-164.
18. Shiller, Robert J. (1973), “A Distributed Lag Estimator Derived From Smoothness Priors,” Econometrica, 41, 775-788.
19. Sims, Christopher A. (1980), “Macroeconomics and Reality,” Econometrica, 48, 1-48.
20. Sims, Christopher A.(1982), “Policy Analysis With Econometric Models,” in Brooking Papers on Economic Activity 1, ed. William C. Brainard and George L. Perry, Washington, DC: Brookings Institution, pp. 107-152.
21. Todd, Richard M. (1984), “Improving Economic Forecasting With Bayesian Vector Autoregression,” Federal Reserve Bank of Minneapolis Quarter Review, 4 (Fall), 18-29.
22. Zellner, Arnold (1971), An Introduction to Bayesian Inference in Econometrics, New York: John Wiley.