Forecasting with a noncausal VAR model

DOI10.1016/j.csda.2013.10.014zbMath1506.62141OpenAlexW2106337103MaRDI QIDQ1623550

Henri Nyberg, Pentti Saikkonen

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10138/223796

zbMATH Keywords

simulationimportance samplinginflationforecastingnoncausal vector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items

The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting ⋮ Filtering, Prediction and Simulation Methods for Noncausal Processes

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