Forecasts in a Slightly Misspecified Finite Order VAR
---- Acknowledgements ----
This research was funded in part by NSF grant SBR-0617811 (Stock). We thank participants of workshops at Columbia, Harvard, and Montreal, and at the Greater New York Econometrics Colloquium for helpful comments, and Adam Clark-Joseph for excellent research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.