Forecasting and conditional projection using realistic prior distributions
By: Thomas Doan, Robert B. Litterman and Christopher A. Sims.
Contributors: Litterman, Robert B.; Sims, Christopher A.
Series: Federal Reserve Bank of Minneapolis, Research Department staff report -- 93; Staff report (Federal Reserve Bank of Minneapolis. Research Dept. : Online) -- 93.
Publisher: Federal Reserve Bank of Minneapolis
Published: 1986
Place of publication: [Minneapolis, Minn.]
Language: eng
Format: Electronic resource
Subjects: Economic forecasting.; Time-series analysis.; Bayesian statistical decision theory.
Description: "This paper develops a forecasting procedure based on a Bayesian method for estimating vector autoregressions.  We apply the procedure to 10 macroeconomic variables and show that it produces more accurate out-of-sample forecasts than univariate equations do.  Although cross-variable responses are damped by the prior, our estimates capture considerable interaction among the variables"--Federal Reserve Bank of Minneapolis web site.
Notes: Title from PDF file as viewed on 11/9/2007.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.