BVAR forecast error bands width

[bjoseph]

Hi Gareth & team,

I have been working on implementing a BVAR model - got the variables, estimated the model, got my settings and solved it. No issues and I got the variables for the forecasts and the forecast errors (suffixed _0m & _0s).

The problem is, there are cases where the errors for a longer horizon (say 4 quarters ahead) is smaller than a smaller horizon (say 2 quarters ahead). I am not sure why this could happen, any clue?

Thanks!

[EViews Kai]

Hi,

That does seem odd. Do you have a workfile you can share with us that exhibits this behavior?