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Conditional forecasts and uncertainty about forecast revisions in vector autoregressions

✍ Scribed by Marek Jarociński

Book ID
116422638
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
150 KB
Volume
108
Category
Article
ISSN
0165-1765

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## Abstract This paper investigates the effects of imposing invalid cointegration restrictions or ignoring valid ones on the estimation, testing and forecasting properties of the bivariate, first‐order, vector autoregressive (VAR(1)) model. We first consider nearly cointegrated VARs, that is, stabl