It is divided into four substantive parts, as follows: Part 1, Stochastic Models and their Forecasting, is an introduction to linear stationary models with finite numbers of parameters, in particular ARMA (mixed autoregressive-moving average) processes, their probabilistic and forecasting...

"This paper describes a Bayesian specification procedure used to generate a vector autoregressive model for forecasting macroeconomic variables. The specification search is over parameters of a prior. This quasi-Bayesian approach is viewed as a flexible tool for constructing a filter which...