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Conditional forecasts on SVAR models using the Kalman filter

Author

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  • Camba-Mendez, Gonzalo

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.

Suggested Citation

  • Camba-Mendez, Gonzalo, 2012. "Conditional forecasts on SVAR models using the Kalman filter," Economics Letters, Elsevier, vol. 115(3), pages 376-378.
  • Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:376-378
    DOI: 10.1016/j.econlet.2011.12.087
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    References listed on IDEAS

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    1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    2. 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.
    3. Jarocinski, Marek, 2010. "Conditional forecasts and uncertainty about forecast revisions in vector autoregressions," Economics Letters, Elsevier, vol. 108(3), pages 257-259, September.
    4. 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.
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    Cited by:

    1. Mokinski, Frieder, 2017. "A severity function approach to scenario selection," Discussion Papers 34/2017, Deutsche Bundesbank.
    2. 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.
    3. Simionescu Mihaela, 2015. "Kalman Filter or VAR Models to Predict Unemployment Rate in Romania?," Naše gospodarstvo/Our economy, De Gruyter Open, vol. 61(3), pages 3-21, June.
    4. Bertrand Gruss, 2014. "After the Boom–Commodity Prices and Economic Growth in Latin America and the Caribbean," IMF Working Papers 14/154, International Monetary Fund.

    More about this item

    Keywords

    Conditional forecasting; Vector autoregression; Kalman filter;

    JEL classification:

    • 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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