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| Author: | Waggoner, D. Zha, T. |
| Title: | Conditional forecasts in dynamic multivariate models |
| Journal: | Review of Economics and Statistics
1999 : NOV, VOL. 81:4, p. 639-651 |
| Index terms: | STATISTICS ECONOMICS FORECASTING |
| Language: | eng |
| Abstract: | In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions. This paper develops Bayesian methods for computing the exact finite-sample distribution of conditional forecasts. It broadens the class of conditional forecasts to which the methods can be applied. The methods work for both structural and reduced-form VAR models and, in contrast to common practices, account for parameter uncertainty in finite samples. |
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