Forecasts in a Slightly Misspecified Finite Order VAR

Ulrich K. Müller, James H. Stock

NBER Working Paper No. 16714
Issued in January 2011

---- 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.

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