BVAR forecast error bands width
Posted: Tue Apr 01, 2025 9:00 pm
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!
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!