کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9555388 | 1376611 | 2005 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Impact factors
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Impact factors Impact factors](/preview/png/9555388.png)
چکیده انگلیسی
In this paper we discuss sensitivity of forecasts with respect to the information set considered in prediction; a sensitivity measure called impact factor, IF, is defined. This notion is specialized to the case of VAR processes integrated of order 0, 1 and 2. For stationary VARs this measure corresponds to the sum of the impulse response coefficients. For integrated VAR systems, the IF has a direct interpretation in terms of long-run forecasts. Various applications of this concept are reviewed; they include questions of policy effectiveness and of forecast uncertainty due to data revisions. A unified approach to inference on the IF is given, showing under what circumstances standard asymptotic inference can be conducted also in systems integrated of order 1 and 2. It is shown how the results reported here can be used to calculate similar sensitivity measures for models with a simultaneity structure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 128, Issue 1, September 2005, Pages 31-68
Journal: Journal of Econometrics - Volume 128, Issue 1, September 2005, Pages 31-68
نویسندگان
Pieter Omtzigt, Paolo Paruolo,