Likelihood and other approaches to prediction in dynamic models

DOI10.1016/0304-4076(87)90084-4zbMath0649.62107OpenAlexW2106144979MaRDI QIDQ1105969

Thomas F. Cooley, William R. Parke

Publication date: 1987

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(87)90084-4

zbMATH Keywords

approximationsnon-normalautoregressive modelmacroeconomicsfinancedynamic modelsMonte-Carlo studyconditional predictionsgenerating multi-period predictionsgeometric random walk modellikelihood prediction functionmean-squared error prediction functionsprediction functions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (1)

Predictive efficiency for simple non-linear models

Cites Work

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• Predictive likelihood
• Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
• Approximate predictive likelihood
• The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods

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