Conditional forecasts and uncertainty about forecast revisions in vector autoregressions

C-Tier
Journal: Economics Letters
Year: 2010
Volume: 108
Issue: 3
Pages: 257-259

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 simplifies the Waggoner and Zha (1999) formula for the conditional distribution of shocks, discusses its linear algebraic intuition, and shows how to account for the dependence between the conditional and unconditional predictive densities when comparing them.

Technical Details

RePEc Handle
repec:eee:ecolet:v:108:y:2010:i:3:p:257-259
Journal Field
General
Author Count
1
Added to Database
2026-01-25