This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...

Linear regression models have been used in a number of studies examining the presence or absence of incremental information contents in cash flow. The results of these studies have not been consistent. This paper draws attention to the critical issue of extreme observations in the data. Extreme...