Conditional forecasts in VAR framework

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Conditional forecasts in VAR framework

Postby Andrew25 » Tue Mar 08, 2016 5:25 am

I want to make sure that I have correctly made conditional forecasts in order to assess policy effectiveness. I describe methodology step-by-step:
1. I estimate a Bayesian VAR with 30 endogenous variables with monthly data from January 1990 to December 2010.
2. Then I make model out of it (by Proc/Make model).
3. I make baseline forecast from January 2010 to December 2010 (Deterministic/dynamic solution).
4. To assess policy effectiveness in period form January 2010 to December 2010, I make an alternative scenario where I override policy variable with counterfactual values in that period.
I will greatly appreciate your comments!

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Joined: Tue Nov 24, 2015 4:57 pm

Re: Conditional forecasts in VAR framework

Postby dakila » Mon Jul 04, 2016 4:19 am

Your question is answered. Use the confcast add-in.

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