Forecasting with VAR Models

Klaus Neusser ()

Chapter 14 in Time Series Econometrics, 2016, pp 241-253 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. In a second step, we then investigate how the results established in the first step have to be amended if the parameters are estimated. The analysis will focus on stationary and causal VAR(1) processes. Processes of higher order can be accommodated by rewriting them in companion form.

Keywords: Forecast Error; Forecast Evaluation; Point Forecast; Quantitative Ease; Final Prediction Error (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-32862-1_14

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