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Pronosticos Condicionados Para Modelos Var

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  • Luis Fernando melo V.

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Abstract

En este documento se presenta una metodología para estimar pronósticos con intervalos de confianza para modelos VAR o VEC (1) incorporando metas o restricciones lineales sobre los valores futuros de las variables. Esta metodología incluye la posibilidad de evaluar la compatibilidad entre las metas y los pronósticos del modelo bajo una prueba estadística. Adicionalmente, una aplicación del método se lleva a cabo utilizando unos modelos simulados. (1) Modelos Vectoriales de Corrección de Errores.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 003392.

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Length: 25
Date of creation: 31 Oct 1996
Date of revision:
Handle: RePEc:col:000094:003392

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  1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  2. Luis Fernando melo V., 1996. "Pronosticos Condicionados Para Modelos Var," BORRADORES DE ECONOMIA 003392, BANCO DE LA REPÚBLICA.
  3. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
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Cited by:
  1. Luis Fernando melo V., 1996. "Pronosticos Condicionados Para Modelos Var," BORRADORES DE ECONOMIA 003392, BANCO DE LA REPÚBLICA.

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