IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Impact factors

  • Omtzigt Pieter

    ()

    (Faculty of Economics and Econometrics, WB Amsterdam)

  • Paruolo Paolo

    ()

    (Department of Economics, University of Insubria, Italy)

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2002_4.pdf
Download Restriction: no

Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0203.

as
in new window

Length: 33 pages
Date of creation: Oct 2002
Date of revision:
Handle: RePEc:ins:quaeco:qf0203
Contact details of provider: Postal: Via Ravasi 2-21100 Varese
Web page: http://www.uninsubria.it/uninsubria/facolta/econo.html

More information through EDIRC

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.:

as in new window
  1. Johansen, Søren, 1995. "A Stastistical Analysis of Cointegration for I(2) Variables," Econometric Theory, Cambridge University Press, vol. 11(01), pages 25-59, February.
  2. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451.
  3. repec:cup:etheor:v:8:y:1992:i:2:p:188-202 is not listed on IDEAS
  4. Paruolo, Paolo, 1997. "Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems," Econometric Theory, Cambridge University Press, vol. 13(01), pages 79-118, February.
  5. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
  6. Paruolo, Paolo, 1997. "Standard Errors for the Long-Run Variance Matrix," Econometric Theory, Cambridge University Press, vol. 13(02), pages 305-306, April.
  7. Banerjee, Anurag N. & Magnus, Jan R., 1999. "The sensitivity of OLS when the variance matrix is (partially) unknown," Journal of Econometrics, Elsevier, vol. 92(2), pages 295-323, October.
  8. Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.
  9. Anindya Banerjee & Lynne Cockerell & Bill Russell, 2001. "An I(2) analysis of inflation and the markup," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 221-240.
  10. Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
  11. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
  12. Paruolo, Paolo, 2000. "Asymptotic Efficiency Of The Two Stage Estimator In I (2) Systems," Econometric Theory, Cambridge University Press, vol. 16(04), pages 524-550, August.
  13. Paruolo Paolo, 2002. "Common features and common I(2) trends in VAR systems," Economics and Quantitative Methods qf0217, Department of Economics, University of Insubria.
  14. Hans Christian Kongsted, 2002. "Testing the Nominal-to-Real Transformation," Discussion Papers 02-06, University of Copenhagen. Department of Economics.
  15. Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999. "Trend stationarity in the I(2) cointegration model," Journal of Econometrics, Elsevier, vol. 90(2), pages 265-289, June.
  16. Faliva, Mario & Zoia, Maria Grazia, 2002. "On A Partitioned Inversion Formula Having Useful Applications In Econometrics," Econometric Theory, Cambridge University Press, vol. 18(02), pages 525-530, April.
  17. Estrella, Arturo, 2003. "Critical Values And P Values Of Bessel Process Distributions: Computation And Application To Structural Break Tests," Econometric Theory, Cambridge University Press, vol. 19(06), pages 1128-1143, December.
  18. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  19. Donald W. K. Andrews, 2003. "Tests for Parameter Instability and Structural Change with Unknown Change Point: A Corrigendum," Econometrica, Econometric Society, vol. 71(1), pages 395-397, January.
  20. Hans Christian Kongsted, 2003. "An I(2) cointegration analysis of small-country import price determination," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 53-71, 06.
  21. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164, March.
  22. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
  23. Paruolo, Paolo & Rahbek, Anders, 1999. "Weak exogeneity in I(2) VAR systems," Journal of Econometrics, Elsevier, vol. 93(2), pages 281-308, December.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ins:quaeco:qf0203. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Segreteria Dipartimento)

The email address of this maintainer does not seem to be valid anymore. Please ask Segreteria Dipartimento to update the entry or send us the correct address

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.