Browsing FGV EPGE - Ensaios Econômicos by Title "Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study"

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Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study

Athanasopoulos, George; Issler, João Victor; Guillen, Osmani Teixeira Carvalho
2005-04-01

Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic ...