Vector Autoregression Forecasting Models: Suggested Improvements

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英文文献：Vector Autoregression Forecasting Models: Suggested Improvements
英文文献作者：Kaylen, Michael S.
英文文献摘要：
Two methods for building vector autoregression forecasting models are proposed. The first allows exclusion of intermediate lags; the second considers ?the effects of jointly entering lags from different series into an equation. Live hog market models are developed and out-of-sample forecasting results suggest both methods have merit.

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