Conditional forecasts on SVAR models using the Kalman filter
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- Mokinski, Frieder, 2017. "A severity function approach to scenario selection," Discussion Papers 34/2017, Deutsche Bundesbank.
- SIMIONESCU, Mihaela, 2014. "Assessing The Forecasts Accuracy Of The Weight Of Fiscal Revenues In Gdp For Romania," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 18(3), pages 8-24.
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More about this item
KeywordsConditional forecasting; Vector autoregression; Kalman filter;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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