Consider the following two-variable VAR model with one lag and no intercept: 11eb9b5b_3f36_fea1_bf3e_7f68fbb57014_SM2686_00 a. Show that the iterated two-period-ahead forecast for Y can be written as 11eb9b5b_3f37_25b2_bf3e_ff3dbe8d7f64_SM2686_11 and derive values for 11eb9b5b_3f37_25b3_bf3e_59099ca93567_SM2686_11 1 and 11eb9b5b_3f37_25b4_bf3e_b312d5b938f6_SM2686_00 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, James Stock

النسخة 3الرقم المعياري الدولي: 978-9352863501

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

النسخة 3الرقم المعياري الدولي: 978-9352863501

تمرين 13

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...