Conditional forecasts and uncertainty about forecast revisions in vector autoregressions
This 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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Volume (Year): 108 (2010)
Issue (Month): 3 (September)
Pages: 257-259
| Handle: | RePEc:eee:ecolet:v:108:y:2010:i:3:p:257-259 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/ecolet
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References listed on IDEAS
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,"
FRB Atlanta Working Paper
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.
- 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.
- 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.
- Jarociński, Marek & Smets, Frank, 2008.
"House Prices and the stance of Monetary Policy,"
Working Paper Series
0891, European Central Bank.
- Marek Jarocinski & Frank Smets, 2008. "House prices and the stance of monetary policy," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 339-366.
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