Some Small Sample Evidence on the Distribution of Dynamic Simulation Forecasts

DOI10.2307/1912687zbMath0368.62044OpenAlexW2027422097MaRDI QIDQ4144619

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Publication date: 1977

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912687

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

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Estimation bias and feasible conditional forecasts from the first-order moving average model ⋮ On robust forecasting in dynamic vector time series models ⋮ Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung ⋮ Inference for impulse response coefficients from multivariate fractionally integrated processes

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