Forecasts in a Slightly Misspecified Finite Order VAR
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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
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美国国家经济研究局创建时间:
2011-01-01



