Conditional forecasts on SVAR models using the Kalman filter

Gonzalo Camba-Mendez

Economics Letters, 2012, vol. 115, issue 3, 376-378

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.

Keywords: Conditional forecasting; Vector autoregression; Kalman filter (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:376-378

DOI: 10.1016/j.econlet.2011.12.087

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