Interval forecasting in cointegrated systems

DOI10.1007/BF02926048zbMath0851.62064OpenAlexW2054751074MaRDI QIDQ1907865

Hans-Eggert Reimers

Publication date: 11 November 1996

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02926048

zbMATH Keywords

Monte Carlo studyerror correctionerror componentcorrection termsmall sample sizecointegrated systemsconfidence interval of forecastingestimated coefficientsnominal levelobserved levelvectorautoregressive models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Parametric tolerance and confidence regions (62F25)

Related Items (1)

Exact joint forecast regions for vector autoregressive models

Cites Work

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• Statistical analysis of cointegration vectors
• Forecasting and testing in co-integrated systems
• Impulse response analysis of cointegrated systems
• On Asymptotic Prediction Problems for Multivariate Autoregressive Models in the Unstable Nonexplosive Case
• On Some Asymptotic Results for Multivariate Autoregressive Models with Estimated Parameters
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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