View Leeper and Zha (2003) inspired modesty tests from conditional forecasting exercises of the Bayesian VAR model. Conditional forecasts concerns prediction of the endogenous variables of the VAR model conditional on a certain path and length of the path for a subset of the variables. The modesty analysis aims at discovering if the conditional forecasts are subject to the Lucas (1976) critique, or if the conditioning assumptions may be viewed as modest (policy interventions).
YADA can compute modesty tests for the posterior mode values and for draws from the posterior prior distribution.
Additional Information
• | A detailed description about unconditional and conditional predictive distributions for the Bayesian VAR model can be found in Sections 14.5 and 14.6 of the YADA Manual, respectively. |
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