The sampling distribution of forecasts from a first-order autoregression
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Publication:1255748
DOI10.1016/0304-4076(79)90073-3zbMath0402.62066OpenAlexW2019313222MaRDI QIDQ1255748
Publication date: 1979
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(79)90073-3
Sampling DistributionConditional Distribution of Forecast ErrorsFirst-Order Autoregression Time-Series Model
Multivariate distribution of statistics (62H10) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10)
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Cites Work
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
- A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
- The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
- First Order Autoregression: Inference, Estimation, and Prediction
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