VAR Forecasts

[Nabtheberliner]

Hi Tom,
I'm wondering how can i change the title of this topic :maximum likelihood estimators to VAR study?

Also, according this task below:

[quote][/quote]Use the LS estimate and compute point forecasts ^
y86(1),^
y86(2) (that is, the
forecast origin is the last quarter of 1968) and the corresponding MSE matrices

^Σy(1),^
Σy(2),
^Σ^
y(1), and
^Σ
^y(2). Use these estimates to set up approximate
95% interval forecasts assuming that the process yt is Gaussian.

Where can i get some interesting explanations about how to compute estimated forecast MSE matrices? for h=1 it's easy but as you know the tricky point is for h=2 when i need to compute the omega matrix like in the Lütkepohl's book: New Introduction To Multiple Time Series Analysis p.99?

Thanks Tom

[TomDoan]

Hi Tom,
I'm wondering how can i change the title of this topic :maximum likelihood estimators to VAR study?

Start a new topic (which I already did). Don't rename as existing one since anyone looking for information on what you were doing before won't find it otherwise.

Also, according this task below:

Use the LS estimate and compute point forecasts ^
y86(1),^
y86(2) (that is, the
forecast origin is the last quarter of 1968) and the corresponding MSE matrices

^Σy(1),^
Σy(2),
^Σ^
y(1), and
^Σ
^y(2). Use these estimates to set up approximate
95% interval forecasts assuming that the process yt is Gaussian.

Where can i get some interesting explanations about how to compute estimated forecast MSE matrices? for h=1 it's easy but as you know the tricky point is for h=2 when i need to compute the omega matrix like in the Lütkepohl's book: New Introduction To Multiple Time Series Analysis p.99?

Thanks Tom

I would recommend not bothering with that. So-called "exact" calculations of standard errors for IRF's and forecasts was one of Lütkepohl's research interests, and it shows in the book. As you can see, it involves quite a bit of number-crunching. A more common way to compute the distribution of forecasts taking into account uncertainty in the coefficient estimates is with Monte Carlo integration.

[Nabtheberliner]

OK sorry Tom you were very quick, it wasn't gone.
Thanks for the change

[Nabtheberliner]

OK i skip the question