BIBFRAME Work

Title

Forecasts in a slightly misspecified finite order var

Type

  • Monograph
  • Text

Contribution

Language

Classification

LCC: HB1 (Assigner: dlc) (Status: used by assigner)

Content

Supplementary content

Summary

"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 problem asymptotically a normal-normal Bayes problem, resulting in closed-form solutions for the best forecast. When applied to data on 132 U.S. monthly macroeconomic time series, the method is found to improve upon autoregressive forecasts by an amount consistent with the theoretical and Monte Carlo calculations"--National Bureau of Economic Research web site.

Authorized Access Point

Müller, Ulrich K. Forecasts in a slightly misspecified finite order var

Admin Metadata

  • Date: 2026-09-11T20:16:44.239292+00:00
  • Agent: cbc
  • Status: c
  • Derived from: 16753514

Admin Metadata

  • Date: 2026-09-11
  • Cataloger id: Unknown
  • Description level: http://id.loc.gov/ontologies/bibframe-2-6-0/
  • Description language: eng
  • Description authentication: pcc

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