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Impact factors
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DOI：10.1016/j.jeconom.2004.08.007.png)
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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 I and 2. It is shown how the results reported here can be used to calculate similar sensitivity measures for models with a simultaneity structure. (c) 2004 Elsevier B.V. All rights reserved.
Keyword:
sensitivity
forecasting
cointegration
I(1)
I(2)
dynamic multipliers
(generalized) impulse responses
VAR
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