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Methods for Estimation and Inference in Modern Econometrics

✍ Scribed by Shalabh


Book ID
115225796
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
103 KB
Volume
175
Category
Article
ISSN
0964-1998

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In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provide better forecasts and are preferable from a theoretical standpoint. Several of these priors require nu