Conditional forecasts on SVAR models using the Kalman filter

DOI10.1016/J.ECONLET.2011.12.087MaRDI QIDQ1925637zbMATH OpenOpenAlexFDO

Authors 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

conditional forecastingKalman filtervector autoregression

Mathematics Subject Classification ID

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

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Cites work

• A geometrical derivation of the fixed interval smoothing algorithm
• A standard error for the estimated state vector of a state-space model
• Conditional forecasts and uncertainty about forecast revisions in vector autoregressions
• scientific article; zbMATH DE number 3727458 (Why is no real title available?)

Cited in

(4)

• scientific article; zbMATH DE number 1834002 (Why is no real title available?)
• Kalman filter-based modelling and forecasting of stochastic volatility with threshold
• A Comparison of Conditioned Versus Unconditioned Forecasts of the VAR(1) Process
• Conditional forecasts and uncertainty about forecast revisions in vector autoregressions

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