Arbeitspapier
A Critical Note on the Forecast Error Variance Decomposition
The paper questions the reasonability of using forecast error variance decompositions for assessing the role of different structural shocks in business cycle fluctuations. It is shown that the forecast error variance decomposition is related to a dubious definition of the business cycle. A historical variance decomposition approach is proposed to overcome the problems related to the forecast error variance decomposition.
- Sprache
-
Englisch
- Erschienen in
-
Series: ZEW Discussion Papers ; No. 08-065
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
- Thema
-
Business Cycles
Structural Vector Autoregression Models
Forecast Error Variance Decomposition
Historical Variance Decomposition
Konjunkturprognose
Prognoseverfahren
Statistischer Fehler
Varianzanalyse
Dekompositionsverfahren
VAR-Modell
Theorie
HVD
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Seymen, Atilim
- Ereignis
-
Veröffentlichung
- (wer)
-
Zentrum für Europäische Wirtschaftsforschung (ZEW)
- (wo)
-
Mannheim
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Seymen, Atilim
- Zentrum für Europäische Wirtschaftsforschung (ZEW)
Entstanden
- 2008
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