Del Negro, Marco (contributor); … - 2008
-step ahead forecast errors u2,t are
functions of structural innovations epsilon1t. Assuming that under the DSGE model the law of … point, we expressed the VAR in terms of one-step ahead forecast errors ut.
However, both for understanding the dynamics of …
bracketrightbigg
A1. (24)
While the above decomposition of the forecast error covariance matrix identifies A1,
it does not uniquely …