BVAR forecast s.e. in EViews 11

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BVAR forecast s.e. in EViews 11

Postby tom99163 » Mon Jan 10, 2022 10:04 am

I have a couple of questions regarding BVAR forecast s.e.
EViews 10 allows producing forecast s.e. for BVAR.
However, this option is not available in EViews 11.
The technical note says "Forecast standard errors are currently only available for non-Bayesian VARs, and are computed via simulation."
1. What is a difference between BVAR method in EViews 10 and 11?
2. What would be an appropriate way to calculate BVAR forecast s.e.?



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