English, Article, Journal or magazine article edition: Cointegrating VAR models and probability forecasting in Stata Gustavo Sánchez Bizot

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Cointegrating VAR models and probability forecasting in Stata
Author
  • Gustavo Sánchez Bizot
Physical Description
  • preprint
Notes
  • I discuss two applications of the vec commands in this presentation. First, I use the cointegrating VAR approach discussed in Garrat et al. (2006, Global and National Macroeconometric Modelling: A Long-run Structural Approach) to fit a vector-error correction model. In contrast with the application of the traditional Johansen statistical restrictions for the identification of the coefficients of the cointegrating vectors, I use Stata to show an alternative specification of those restrictions based on the approach by Garrat et al. Second, I apply probability forecasting to simulate probability distributions for the forecasted periods. This approach produces probabilities for future single and joint events, instead of only producing point forecasts and confidence intervals. For example, we could estimate the joint probability of two-digit inflation combined with a decrease in the GDP.
  • RePEc:boc:msug09:07
Language
  • English
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