The bias and mean squared error of forecasts from partially restricted reduced form

In the present study the properties of forecasts obtained according to the Partially Restricted Reduced Form have been investigated. The exact bias and mean squared error of forecasts on the left-hand endogenous variable of the structural equation under consideration and their asymptotic approximations (up to given order) have been obtained, in the special case when there are only two endogenous variables in the structural equation under consideration. A condition under which Partially Restricted Reduced Form forecasts have smaller mean squared error compared to the mean squared error of Unrestricted Reduced Form forecasts has also been obtained.