The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model

DOI10.2307/1911980zbMath0286.62080OpenAlexW2017476214MaRDI QIDQ4773199

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Publication date: 1974

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911980

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20) Trade models (91B60)

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PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS ⋮ Predictions from ARMAX models ⋮ Forecasting Levels in Loglinear Unit Root Models ⋮ An econometric model of the petroleum industry ⋮ Quantile regression for dynamic panel data with fixed effects ⋮ The sampling distribution of forecasts from a first-order autoregression ⋮ Approximation methods for multiple period Value at Risk and Expected Shortfall prediction ⋮ Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung ⋮ Prediction of multivariate time series by autoregressive model fitting

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