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- Fri May 18, 2007 12:48 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: generating expectations !!
- Replies: 0
- Views: 7487
generating expectations !!
Dear RATS user's. I want to generate expectations of macroeconomic variables. would you mind giving an advice about the popular methods. I think to employ VECM. however, I saw some papers that have chosen to estimate expected nominal variables with a standard Kalman Filter in a VAR(p) specification....