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

页码：376 / 378

页数：3

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