In this paper we discuss sensitivity of forecast with respect to the information set considered in prediction; we define a sensitivit measure called impact factor, IF. We calculate this measure in VAR processes integrated of order 0, 1 and 2. For VAR processes this measure is as simple function of the impulse response coefficients. For integrated VAR systems this measure is shown to have a direct interpretation in terms of long-run forecasts. Various applications of this concept are reviewed, including one on the interpretation and effectiveness of economics policies and one on the sensitivity of forecasts with respect to data revisions. A unified approach to inference on the IF is given, showing under what circumstances standard asymptotic inference can be conducted also in systems integrated of order 1 and 2.
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