On the Treatment of Autocorrelated Errors in the Multiperiod Prediction of Dynamic Simultaneous Equation Models

DOI10.2307/2526365zbMath0456.62076OpenAlexW2092563322MaRDI QIDQ3906292

Taku Yamamoto

Publication date: 1980

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2526365

zbMATH Keywords

autocorrelated errorsautoregressive moving average modelsstate space formdynamic simultaneous equation modelsmultiperiod prediction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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