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, 1998.
"Conditional forecasts in dynamic multivariate models,"
98-22, Federal Reserve Bank of Atlanta.
- 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.
- Jarociński, Marek & Smets, Frank, 2008.
"House Prices and the stance of Monetary Policy,"
Working Paper Series
0891, European Central Bank.
- 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.
- 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, 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.
- Camba-Mendez, Gonzalo, 2012. "Conditional forecasts on SVAR models using the Kalman filter," Economics Letters, Elsevier, vol. 115(3), pages 376-378.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
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