Maps each selected conditioning shock to a particular conditioning variable. The number of selected conditioning shocks is equal to the number of selected conditioning variables.
YADA allows for different number of conditioning variables in each time period over the forecast sample. It is therefore convenient to have a unique mapping between the conditioning variables and the conditioning shocks, i.e., if a particular conditioning variable is dropped for a particular period then the shock which is mapped to it is also dropped. The minimum number of conditioning variables for each time period in the conditioning sample is 0 and the maximum is the number of selected conditioning variables. A specific conditioning variable is dropped from the set of conditioning variables in a specific period when its value is given by a NaN.
Additional Information
• | A more detailed description about conditional predictive distributions can also be found in Section 12.2 of the YADA Manual. |
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