Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

We propose a new generalized forecast error variance decomposition with the property that the proportions of the impact accounted for by innovations in each variable sum to unity. Our decomposition is based on the well-established concept of the generalized impulse response function. The use of the new decomposition is illustrated with an empirical application to U.S. output growth and interest rate spread data.

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Year of publication:	2014-05-19
Authors:	Lanne, Markku ; Nyberg, Henri
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Forecast error variance decomposition \| generalized impulse response function \| output growth \| term spread

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Notes:	3 pages long
Classification:	C13 - Estimation ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010935034