Conditional forecasts and uncertainty about forecast revisions in vector autoregressions
AbstractThis note simplifies the Waggoner and Zha (1999) formula for the conditional distribution of shocks, discusses its linear algebraic intuition, and shows how to account for the dependence between the conditional and unconditional predictive densities when comparing them.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 108 (2010)
Issue (Month): 3 (September)
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Web page: http://www.elsevier.com/locate/ecolet
Conditional forecast Vector autoregression Forecast revision;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Daniel F. Waggoner & Tao Zha, 1999.
"Conditional Forecasts In Dynamic Multivariate Models,"
The Review of Economics and Statistics,
MIT Press, vol. 81(4), pages 639-651, November.
- Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," Working Paper 98-22, Federal Reserve Bank of Atlanta.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1997.
"Monetary policy shocks: what have we learned and to what end?,"
Working Paper Series, Macroeconomic Issues
WP-97-18, Federal Reserve Bank of Chicago.
- Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148 Elsevier.
- Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 1998. "Monetary Policy Shocks: What Have We Learned and to What End?," NBER Working Papers 6400, National Bureau of Economic Research, Inc.
- Marek Jarocinski & Frank R. Smets, 2008.
"House prices and the stance of monetary policy,"
Federal Reserve Bank of St. Louis, issue Jul, pages 339-366.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
- Camba-Mendez, Gonzalo, 2012. "Conditional forecasts on SVAR models using the Kalman filter," Economics Letters, Elsevier, vol. 115(3), pages 376-378.
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