Forecasting with VAR Models

Klaus Neusser
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Klaus Neusser: University of Bern

Chapter 14 in Time Series Econometrics, 2025, pp 249-267 from Springer

Abstract: Abstract The discussion of forecasting with VAR models proceeds in two steps. First, we assume that the parameters of the model are known. Although this assumption is unrealistic, it will nevertheless allow us to introduce and analyze important concepts and ideas. The second step then investigates how the results established in the first step have to be amended if the unknown parameters are replaced by their estimates. The analysis will focus on stationary and causal VAR(1) processes.

Date: 2025
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DOI: 10.1007/978-3-031-88838-0_14

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