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Pronosticos Condicionados Para Modelos Var

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  • Luis Fernando melo V.

Abstract

En este documento se presenta una metodología para estimar pronósticos con intervalos de confianza para modelos VAR o VEC (1) incorporando metas o restricciones lineales sobre los valores futuros de las variables. Esta metodología incluye la posibilidad de evaluar la compatibilidad entre las metas y los pronósticos del modelo bajo una prueba estadística. Adicionalmente, una aplicación del método se lleva a cabo utilizando unos modelos simulados. (1) Modelos Vectoriales de Corrección de Errores.

Suggested Citation

  • Luis Fernando melo V., 1996. "Pronosticos Condicionados Para Modelos Var," Borradores de Economia 3392, Banco de la Republica.
    • Handle: RePEc:col:000094:003392
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    References listed on IDEAS

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    1. Luis Fernando Melo. & Hugo Oliveros C., 1991. "Pronósticos condicionados: método y aplicación al caso de la inflación 1991," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 10(20), pages 87-105, December.
    2. Luis Fernando melo V., 1996. "Pronosticos Condicionados Para Modelos Var," Borradores de Economia 3392, Banco de la Republica.
    3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    4. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
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    1. Luis Fernando melo V., 1996. "Pronosticos Condicionados Para Modelos Var," Borradores de Economia 3392, Banco de la Republica.

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