Search found 2 matches
- Tue Oct 30, 2012 6:58 am
- Forum: VARs (Vector Autoregression Models)
- Topic: structural factorization based on forecast innovations
- Replies: 1
- Views: 4008
Re: structural factorization based on forecast innovations
Clarification: I of course mean the innovation in the multivariate BN trend for just *one* of the variables. thankS! Bob
- Mon Oct 29, 2012 5:05 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: structural factorization based on forecast innovations
- Replies: 1
- Views: 4008
structural factorization based on forecast innovations
Dear Tom and others, In the context of studying "news shocks" (in the sense of Beaudry and Portier), I would like to compute impulse responses to innovations in the optimal forecasts (at various horizons) of one of variables in the VAR. For example, in the cae of the infinite-horizon forec...