A Critical Note on the Forecast Error Variance Decomposition
Copyright policy )A Critical Note on the Forecast Error Variance Decomposition
The paper questions the reasonability of using forecast error variance decompositions for assessing the role of different structural shocks in business cycle fluctuations. It is shown that the forecast error variance decomposition is related to a dubious definition of the business cycle. A historical variance decomposition approach is proposed to overcome the problems related to the forecast error variance decomposition.
- Leibniz Association Germany
- Centre For European Economic Research Germany
- University of Mannheim Germany
VAR-Modell, 330, ddc:330, Business Cycles,Structural Vector Autoregression Models,Forecast Error Variance Decomposition,Historical Variance Decomposition, Historical Variance Decomposition, HVD, Business Cycles, Structural Vector Autoregression Models, Statistischer Fehler, Varianzanalyse, Dekompositionsverfahren, Konjunkturprognose, Prognoseverfahren, C32, Forecast Error Variance Decomposition, Theorie, E32, jel: jel:E32, jel: jel:C32
VAR-Modell, 330, ddc:330, Business Cycles,Structural Vector Autoregression Models,Forecast Error Variance Decomposition,Historical Variance Decomposition, Historical Variance Decomposition, HVD, Business Cycles, Structural Vector Autoregression Models, Statistischer Fehler, Varianzanalyse, Dekompositionsverfahren, Konjunkturprognose, Prognoseverfahren, C32, Forecast Error Variance Decomposition, Theorie, E32, jel: jel:E32, jel: jel:C32
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).8 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Citations provided by BIP!Popularity provided by BIP!