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Pronosticos Condicionados Para Modelos Var

  • Luis Fernando melo V.

    ()

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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File URL: http://www.banrep.gov.co/docum/ftp/borra062.pdf
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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. Luis Fernando Melo, . "Pronósticos Condicionados para Modelos VAR," Borradores de Economia 062, Banco de la Republica de Colombia.
  2. 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.
  3. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
  4. Luis Fernando Melo Velandia & Hugo Oliveros Camacho, 1991. "Pronósticos Condiconados: Método Y Aplicación Al Caso De La Inflación 1991," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE.
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