1 Forecasting with VAR. 2 Sample 3 VAR Model 4 Estimated model: Top.
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Transcript of 1 Forecasting with VAR. 2 Sample 3 VAR Model 4 Estimated model: Top.
7
-.1
.0
.1
.2
.3
.4
.5
.6
1 2 3 4 5 6 7 8 9 10
Response of DTCU to DTCU
-.1
.0
.1
.2
.3
.4
.5
.6
1 2 3 4 5 6 7 8 9 10
Response of DTCU to DFFR
-.2
.0
.2
.4
.6
1 2 3 4 5 6 7 8 9 10
Response of DFFR to DTCU
-.2
.0
.2
.4
.6
1 2 3 4 5 6 7 8 9 10
Response of DFFR to DFFR
Response to Cholesky One S.D. Innovations ± 2 S.E.
Impulse Response graphs
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Impulse response graphs: other choleski
-.1
.0
.1
.2
.3
.4
.5
.6
1 2 3 4 5 6 7 8 9 10
Response of DTCU to DTCU
-.1
.0
.1
.2
.3
.4
.5
.6
1 2 3 4 5 6 7 8 9 10
Response of DTCU to DFFR
-.2
.0
.2
.4
.6
1 2 3 4 5 6 7 8 9 10
Response of DFFR to DTCU
-.2
.0
.2
.4
.6
1 2 3 4 5 6 7 8 9 10
Response of DFFR to DFFR
Response to Cholesky One S.D. Innovations ± 2 S.E.
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Recolor
Gen tcuf=tcu, smpl 2011.04 2011.04 Gen tcuf=tcuf(-1) + dtcuf, smpl 2011.05
2011.12 Gen ffrf=ffr, smpl 2011.04 2011.04 Gen ffrf=ffrf(-1) + dffrf, smpl 2011.05
2011.12
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1970 1975 1980 1985 1990 1995 2000 2005 2010
TCU TCUF
VAR forecast of Total industry capacity utilization for rest of 2011
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0
4
8
12
16
20
1970 1975 1980 1985 1990 1995 2000 2005 2010
FFR FFRF
VAR Forecast of federal funds rate for the rest of 2011