Guidolin, Massimo (contributor); … - 2005
since the Markovian form of the model makes it ideally suited
for this type of method.
When the matrix of VAR coefficients, A … from macroeconomic variables described further below (M):
1. The first method computes forecasts by using the optimal … second method is analogous to the first but restricts the combination weights so that ˆω
t,t+h
[1],
ˆω
t,t+h
[2] ∈ [0,1] and …