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Conditional forecasts on SVAR models using the Kalman filter

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  • Camba-Mendez, Gonzalo
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    Abstract

    This note shows how conditional forecasts from identified VAR models can be computed using Kalman filtering techniques. These techniques are nowadays routine for applied macroeconomists, and hence the computation of conditional forecasts using these methods are simple to implement.

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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 115 (2012)
    Issue (Month): 3 ()
    Pages: 376-378

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    Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:376-378

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    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords: Conditional forecasting; Vector autoregression; Kalman filter;

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    1. 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.
    2. Jarocinski, Marek, 2010. "Conditional forecasts and uncertainty about forecast revisions in vector autoregressions," Economics Letters, Elsevier, vol. 108(3), pages 257-259, September.
    3. Hamilton, James D., 1986. "A standard error for the estimated state vector of a state-space model," Journal of Econometrics, Elsevier, vol. 33(3), pages 387-397, December.
    4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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