Consider the following two-variable VAR model with one lag and no intercept: 11eb817c_7809_870a_84e6_e7bdb89b0e37_SM2685_00 a. Show that the iterated two-period-ahead forecast for Y can be written as 11eb817c_7809_870b_84e6_6b497788d451_SM2685_11 and derive values for 11eb817c_7809_870c_84e6_c5a162c819ee_SM2685_11 1 and 11eb817c_7809_870d_84e6_efaf68636479_SM2685_11 2 in terms of the coefficients in the VAR. b. In light of your answer to (a), do iterated multiperiod forecasts differ from direct multiperiod forecasts Explain.

Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

النسخة 3الرقم المعياري الدولي: 978-9352863501

Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

النسخة 3الرقم المعياري الدولي: 978-9352863501

تمرين 14

Consider the following two-variable VAR model with one lag and no intercept:

a. Show that the iterated two-period-ahead forecast for Y can be written as

and derive values for

1 and

2 in terms of the coefficients in the VAR.
b. In light of your answer to (a), do iterated multiperiod forecasts differ from direct multiperiod forecasts Explain.

التوضيح

موثّق

a) The vector autoregression (VAR) model...