# Conditional Forecasting Task

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## References

### 2012

• (Kunst, 2012) ⇒ Robert M. Kunst. (2012). “Econometric Forecasting - Conditional forecasting." Lecture Notes.
• Economists are often interested in forecasts for $x_{t+h}$ that assume $x_s, s \le t$ as known as well as the values of other variables $y_s, s \le t + h$. The solution appears to be $E\left(x_{t+h} | x^t_{-\infty} \cup y^{t+h}_{-\infty}\right)$.
• The assumed values $y_{t+1},..., y_{t+h}$ may be incorrect;
• Any dynamic model that views $x_t$ as a function of $x^{t-1}_{-\infty}$ and $y^{t}_{-\infty}$ may miss the reaction of y to past x (feedback problem, open loop, weak and strong exogeneity);
• Changing the generation mechanism for $y$ relative to the observations may affect the reaction of $y$ (super exogeneity).