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Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era

Lewis, Kurt F.; Whiteman, Charles H. - 2006

The track record of a sixteen-year history of density forecasts of state tax revenue in Iowa is studied, and potential improvements sought through a search for better performing "priors" similar to that conducted two decades ago for point forecasts by Doan, Litterman, and Sims (Econometric...

Persistent link: https://www.econbiz.de/10010295817

Empirical Bayesian density forecasting in lowa and shrinkage for the Monte Carlo era

Lewis, Kurt F. (contributor); … - 2006

The track record of a sixteen-year history of density forecasts of state tax revenue in Iowa is studied, and potential improvements sought through a search for better performing priorsʺ similar to that conducted two decades ago for point forecasts by Doan, Litterman, and Sims (Econometric...

Persistent link: https://www.econbiz.de/10003363860

Risk aversion versus intertemporal substitution: a case study of identification failure in the intertemporal consumption capital asset pricing model

Neely, Christopher J.; Roy, Amlan; Whiteman, Charles H. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 4, pp. 395-403

Persistent link: https://www.econbiz.de/10001646350

Supplanting the "Minnesota" prior : forecasting macroeconomic time series using real business cycle model priors

Ingram, Beth Fisher - In: Journal of monetary economics 34 (1994) 3, pp. 497-510

Persistent link: https://www.econbiz.de/10001175077

Identification failure in the intertemporal consumption CAPM

Neely, Christopher J.; Roy, Amlan; Whiteman, Charles H. - 1995

Persistent link: https://www.econbiz.de/10000930227