Forecast Variance in Dynamic Simulation of Simultaneous Equation Models

DOI10.2307/1913569zbMath0627.62108OpenAlexW2066909119MaRDI QIDQ3763458

Giorgio Calzolari

Publication date: 1987

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913569

zbMATH Keywords

dynamic simulation of simultaneous equation systemsvariances of multiperiod forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Stochastic systems and control (93E99)

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