Pieter, Omtzigt; Paolo, Paruolo - Facoltà di Economia, Università degli Studi dell'Insubria - 2002
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...