Resource title

A Critical Note on the Forecast Error Variance Decomposition

Resource image

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Resource description

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.

Resource author

Atilim Seymen

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/24761

Resource license

Adapt according to the presented license agreement and reference the original author.