Conditional forecasts on SVAR models using the Kalman filter

DOI10.1016/j.econlet.2011.12.087zbMath1253.91151OpenAlexW2067165392MaRDI QIDQ1925637

Gonzalo Camba-Mendez

Publication date: 18 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.12.087

zbMATH Keywords

Kalman filtervector autoregressionconditional forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Unnamed Item
• Conditional forecasts and uncertainty about forecast revisions in vector autoregressions
• A standard error for the estimated state vector of a state-space model
• A geometrical derivation of the fixed interval smoothing algorithm

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