Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

被引：82
|
作者：
Lanne, Markku [1 ,2 ,3 ]
Nyberg, Henri [1 ,2 ,4 ]
机构：
[1] Univ Helsinki, Dept Polit & Econ Studies, Helsinki, Finland
[2] Univ Helsinki, HECER, Helsinki, Finland
[3] Aarhus Univ, CREATES, Aarhus, Denmark
[4] Univ Turku, Dept Math & Stat, Turku, Finland
来源：
OXFORD BULLETIN OF ECONOMICS AND STATISTICS | 2016年 / 78卷 / 04期
基金：
新加坡国家研究基金会; 芬兰科学院;
关键词：
IMPULSE-RESPONSE ANALYSIS; SWITCHING STRUCTURAL VAR; PREDICT OUTPUT; G-7; COUNTRIES; YIELD CURVE; INFLATION; SPREAD; GROWTH; CREDIT;
D O I：
10.1111/obes.12125
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We propose a new generalized forecast error variance decomposition with the attractive property that the proportions of the impact accounted for by innovations in each variable sum to unity. Our decomposition is based on the generalized impulse response function, and it can easily be obtained by simulation. The new decomposition is illustrated in an empirical application to US output growth and interest rate spread data.
引用
收藏
页码：595 / 603
页数：9
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