Conditional forecasts on SVAR models using the Kalman filter

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 115
Issue: 3
Pages: 376-378

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:115:y:2012:i:3:p:376-378
Journal Field
General
Author Count
1
Added to Database
2026-01-25