Forecasts in a Slightly Misspecified Finite Order VAR
收藏数据链接：
官方服务：
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
