Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System

DOI10.2307/1911492zbMath0547.62079OpenAlexW1990460714MaRDI QIDQ3339151

Roberto S. Mariano, Bryan W. Brown

Publication date: 1984

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911492

zbMATH Keywords

asymptotic mean squared prediction errormisspecification analysisMonte Carlo predictornonlinear simultaneous systemresidual-based predictorstatic nonlinear econometric model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) General nonlinear regression (62J02) Monte Carlo methods (65C05)

Related Items (8)

Likelihood and other approaches to prediction in dynamic models ⋮ Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations ⋮ Nonlinear and nonnormal filters using Monte Carlo methods ⋮ Nonlinear filters based on taylor series expansions^∗ ⋮ Stochastic ceteris paribus simulations ⋮ Simulation-based inference. A survey with special reference to panel data models ⋮ Optimal prediction in loglinear models ⋮ Cross-sectional aggregation of nonlinear models

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