Conditional forecasts on SVAR models using the Kalman filter

被引：5
|
作者：
Camba-Mendez, Gonzalo [1 ]
机构：
[1] European Cent Bank, D-60311 Frankfurt, Germany
来源：
ECONOMICS LETTERS | 2012年 / 115卷 / 03期
关键词：
Conditional forecasting; Vector autoregression; Kalman filter;
D O I：
10.1016/j.econlet.2011.12.087
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：376 / 378
页数：3
相关论文
共 50 条
  • [21] Robust Kalman filter for rank deficient observation models
    Koch, KR
    Yang, Y
    JOURNAL OF GEODESY, 1998, 72 (7-8) : 436 - 441
  • [22] Identifying tyre models directly from vehicle test data using an extended Kalman filter
    Best, Matthew C.
    VEHICLE SYSTEM DYNAMICS, 2010, 48 (02) : 171 - 187
  • [23] Models for the rate of inflation, equity dividend yields and dividend growth using the Kalman filter technique
    Arsad, Z
    Cairns, AJG
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (01) : 167 - 167
  • [24] Improving Short-Term Forecasts of Daily Maximum Temperature with the Kalman Filter with GMM Estimation
    Costa, Marco
    Pereira, Fernanda Catarina
    Goncalves, A. Manuela
    COMPUTATIONAL SCIENCE AND ITS APPLICATIONS, ICCSA 2021, PT IV, 2021, 12952 : 552 - 562
  • [25] Crop model data assimilation with the Ensemble Kalman filter for improving regional crop yield forecasts
    de Wit, A. M.
    van Diepen, C. A.
    AGRICULTURAL AND FOREST METEOROLOGY, 2007, 146 (1-2) : 38 - 56
  • [26] Norm-Constrained Capon Beamforming Using Multirank Signal Models With Kalman Filter Implementation
    Hu, Jwu-Sheng
    Lee, Ming-Tang
    IEEE TRANSACTIONS ON ANTENNAS AND PROPAGATION, 2014, 62 (09) : 4574 - 4583
  • [27] Moving Object Tracking using Kalman Filter
    Gunjal, Pramod R.
    Gunjal, Bhagyashri R.
    Shinde, Haribhau A.
    Vanam, Swapnil M.
    Aher, Sachin S.
    2018 INTERNATIONAL CONFERENCE ON ADVANCES IN COMMUNICATION AND COMPUTING TECHNOLOGY (ICACCT), 2018, : 544 - 547
  • [28] Road Gradient Detection Using Kalman Filter
    Katranitsas, Panagiotis F.
    Ordys, Andrzej W.
    Darnell, Paul M.
    Jimmy, Jose
    2013 IEEE EUROCON, 2013, : 1486 - 1491
  • [29] Estimation of wave propagation using a Kalman filter
    Takagi, T
    Inamoto, K
    Kawahara, M
    INTERNATIONAL JOURNAL OF COMPUTATIONAL FLUID DYNAMICS, 1997, 9 (01) : 77 - 84
  • [30] Pose measurement using quaternion and Kalman filter
    卢翔
    Liu Jingtai
    Yu Kaiyan
    Li Yan
    Sun Lei
    High Technology Letters, 2014, 20 (02) : 131 - 139
12345