Conditional forecasts on SVAR models using the Kalman filter

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.

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Year of publication:	2012
Authors:	Camba-Mendez, Gonzalo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 115.2012, 3, p. 376-378
Publisher:	Elsevier
Subject:	Conditional forecasting \| Vector autoregression \| Kalman filter

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Type of publication:	Article
Classification:	C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572179