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Forecasting with Bayesian Vector Autoregressions: Five Years of Experience

Robert B. Litterman
Journal of Business & Economic Statistics
Vol. 4, No. 1 (Jan., 1986), pp. 25-38
DOI: 10.2307/1391384
Stable URL: http://www.jstor.org/stable/1391384
Page Count: 14
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Forecasting with Bayesian Vector Autoregressions: Five Years of Experience
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Abstract

The results obtained in five years of forecasting with Bayesian vector autoregressions (BVAR's) demonstrate that this inexpensive, reproducible statistical technique is as accurate, on average, as those used by the best known commercial forecasting services. This article considers the problem of economic forecasting, the justification for the Bayesian approach, its implementation, and the performance of one small BVAR model over the past five years.

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