Impact factors

Pieter Omtzigt () and Paolo Paruolo

Economics and Quantitative Methods from Department of Economics, University of Insubria

Abstract: In this paper we discuss sensitivity of forecast with respect to the information set considered in prediction; we define a sensitivit measure called impact factor, IF. We calculate this measure in VAR processes integrated of order 0, 1 and 2. For VAR processes this measure is as simple function of the impulse response coefficients. For integrated VAR systems this measure is shown to have a direct interpretation in terms of long-run forecasts. Various applications of this concept are reviewed, including one on the interpretation and effectiveness of economics policies and one on the sensitivity of forecasts with respect to data revisions. A unified approach to inference on the IF is given, showing under what circumstances standard asymptotic inference can be conducted also in systems integrated of order 1 and 2.

Keywords: Forecasting; cointegration; dynamic multipliers; (Generalized) impulse responses; VAR. (search for similar items in EconPapers)
Pages: 33 pages
Date: 2002-10
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.eco.uninsubria.it/RePEc/pdf/QF2002_4.pdf (application/pdf)

Related works:
Journal Article: Impact factors (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf0203

Access Statistics for this paper

More papers in Economics and Quantitative Methods from Department of Economics, University of Insubria Contact information at EDIRC.
Bibliographic data for series maintained by Segreteria Dipartimento ().