| Article ID: | iaor1995390 |
| Country: | United Kingdom |
| Volume: | 13 |
| Issue: | 3 |
| Start Page Number: | 265 |
| End Page Number: | 278 |
| Publication Date: | May 1994 |
| Journal: | International Journal of Forecasting |
| Authors: | Neftci S.N. |
| Keywords: | economics |
Continuous time versions of time varying Vector Autoregressions are stochastic differential equations. Optimal discretization of Stochastic Differential Equations cannot be obtained by replacing all differentials by the corresponding first differences. In this paper, the optimal discretization for time varying VARS is obtained. The results are applied to predicting the consumer price index.