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Bayesian fan charts for UK inflation : forecasting and sources of uncertainty in an evolving moentary system
Cogley, Timothy; Morozov, Sergei; Sargent, Thomas J. - In: Journal of economic dynamics & control 29 (2005) 11, pp. 1893-1925
Persistent link: https://www.econbiz.de/10003172878
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Bayesian fan charts for UK inflation : forecasting and sources of uncertainty in an evolving monetary system
Cogley, Timothy (contributor); Morozov, Sergei (contributor) - 2003 - Rev.
Persistent link: https://www.econbiz.de/10001981646
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A note on Wiener-Kolmogorov prediction formulas for rational expectations models
Hansen, Lars Peter; Sargent, Thomas J. - 1981
"A prediction formula for geometrically declining sums of future forcing variables is derived for models in which the forcing variables are generated by a vector autoregressive-moving average process. This formula is useful in deducing and characterizing cross-equation restrictions implied by...
Persistent link: https://www.econbiz.de/10000703399
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A quartet of semigroups for model specification, robustness, prices of risk, and model detection
Anderson, Ewan W.; Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of the European Economic Association 1 (2003) 1, pp. 68-123
Persistent link: https://www.econbiz.de/10001777218
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Knowing the forecasts of others
Pearlman, Joseph; Sargent, Thomas J. - In: Review of economic dynamics 8 (2005) 2, pp. 480-497
Persistent link: https://www.econbiz.de/10003080365
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Adapting to instability in money demand : forecasting money growth with a time-varying parameter model
Cogley, Timothy - In: Economic review : an annual report of the Economic … (1993), pp. 35-41
Persistent link: https://www.econbiz.de/10001156078
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Predictable life-cycle shocks, income risk and consumption inequality
Primiceri, Giorgio E. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003281690
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Prior selection for vector autoregressions
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2012
Persistent link: https://www.econbiz.de/10009502334
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Prior selection for vector autoregressions
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - In: The review of economics and statistics 97 (2015) 2, pp. 436-451
Persistent link: https://www.econbiz.de/10011333148
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Prior selection for vector autoregressions
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2012
Persistent link: https://www.econbiz.de/10009765939