Conditional forecasts and uncertainty about forecast revisions in vector autoregressions
From MaRDI portal
Publication:709070
DOI10.1016/J.ECONLET.2010.05.022zbMath1203.62165OpenAlexW2095284685MaRDI QIDQ709070
Publication date: 15 October 2010
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2010.05.022
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (3)
Construction of multi-step forecast regions of VAR processes using ordered block bootstrap ⋮ Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series ⋮ Conditional forecasts on SVAR models using the Kalman filter
Cites Work
This page was built for publication: Conditional forecasts and uncertainty about forecast revisions in vector autoregressions
