Giannone, Domenico; Banbura, Martha; Lenza, Michèle - European Centre for Advanced Research in Economics and … - 2014
This paper describes an algorithm to compute the distribution of conditional forecasts,i.e. projections of a set of variables of interest on future paths of some othervariables, in dynamic systems. The algorithm is based on Kalman filtering methods andis computationally viable for large vector...