Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

• Autores: Markku Lanne, Henri Nyberg
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 78, Nº. 4, 2016, págs. 595-603
• Idioma: inglés
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• Dialnet Métricas: 2 Citas
• Resumen

  • We propose a new generalized forecast error variance decomposition with the attractive property that the proportions of the impact accounted for by innovations in each variable sum to unity. Our decomposition is based on the generalized impulse response function, and it can easily be obtained by simulation. The new decomposition is illustrated in an empirical application to US output growth and interest rate spread data.