Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods

DOI10.2307/1913887zbMath0265.62045OpenAlexW2078636323MaRDI QIDQ5681449

Gregory C. Chow

Publication date: 1973

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913887

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15)

Related Items (5)

Bayesian long-run prediction in time series models ⋮ Likelihood and other approaches to prediction in dynamic models ⋮ The exact multi-period mean-square forecast error for the first-order autoregressive model ⋮ CONTROLLABILITY AND OBSERVABILITY IN THE OPTIMAL CONTROL OF LINEAR ECONOMETRIC MODELS ⋮ A Bayesian note on competing correlation structures in the dynamic linear regression model

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