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Michael Andersson, Sveriges Riksbank Print
Thursday, 28 February 2013, 12:15 - 13:15

Michael Andersson, Sveriges Riksbank

On Conditional Forecasts in Dynamic Multivariate Models

Abstract: We will look at some different ways of producing conditional (or restricted) forecasts in VAR-models. One result is that procedures available through standard packages are not to recommend. Further, restrictions on (some variables) model forecasts should be imposed on the structural disturbances. We also provide arguments why the restrictions should be stated in terms of densities rather than just central tendencies. Our proposed procedure for conditional forecasts is a generalization of the Waggoner and Zha (1999) method. The procedure is used for a couple of real-world situations encountered at a central bank.

In this talk we also discuss how the density-conditional procedure may be a building block for combining model forecasts with expert opinions within the framework of the model.

Location: R42.2.113
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it