Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83026
Authors: 
Andersson, Michael K.
Palmqvist, Stefan
Waggoner, Daniel F.
Year of Publication: 
2010
Series/Report no.: 
Sveriges Riksbank Working Paper Series 247
Abstract: 
When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore proposes a generalization such that the conditions can be given as the full distribution of the restricted variables. We demonstrate, in two empirical applications, that ignoring the uncertainty about the conditions implies that the distributions of the unrestricted variables are too narrow.
Subjects: 
Central Bank
Market Expectation
Restrictions
Uncertainty
JEL: 
C53
E37
E52
Document Type: 
Working Paper

Files in This Item:
File
Size
319.43 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.