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The discussion of forecasting with VAR models proceeds in two steps. First, we assume that the parameters of the model are known. Although this assumption is unrealistic, it will nevertheless allow us to introduce and analyze important concepts and ideas. The second step then investigates how the results established in the first step have to be amended if the unknown parameters are replaced by their estimates. The analysis will focus on stationary and causal VAR(1) processes.

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Forecasting with VAR Models

  • 章节

  • 发表日期：

    2025年

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  • Klaus Neusser

摘要

The discussion of forecasting with VAR models proceeds in two steps. First, we assume that the parameters of the model are known. Although this assumption is unrealistic, it will nevertheless allow us to introduce and analyze important concepts and ideas. The second step then investigates how the results established in the first step have to be amended if the unknown parameters are replaced by their estimates. The analysis will focus on stationary and causal VAR(1) processes.