Forecasts in a Slightly Misspecified Finite Order VAR
收藏NBER2011-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w16714
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2011-01-01
