| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16714 |
| 来源ID | Working Paper 16714 |
| Forecasts in a Slightly Misspecified Finite Order VAR | |
| Ulrich K. Müller; James H. Stock | |
| 发表日期 | 2011-01-20 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes the problem asymptotically a normal-normal Bayes problem, resulting in closed-form solutions for the best forecast. When applied to data on 132 U.S. monthly macroeconomic time series, the method is found to improve upon autoregressive forecasts by an amount consistent with the theoretical and Monte Carlo calculations. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w16714 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574389 |
| 推荐引用方式 GB/T 7714 | Ulrich K. Müller,James H. Stock. Forecasts in a Slightly Misspecified Finite Order VAR. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16714.pdf（1153KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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