Inference in dynamic models containing 'surprise' variables
type: Item
instance of: scholarly article
title: Inference in dynamic models containing 'surprise' variables
zbMATH Open document ID: 0617.62118
DOI: 10.1016/0304-4076(87)90083-2
author: Richard T. Baillie
published in: Journal of Econometrics
publication date: 1987-01-01T00:00:00Z
review text: Some new results on calculating moving average representation (MAR) coefficients and their limiting distribution from estimated vector ARMA processes are presented. The technique is applied to the problem of estimating the coefficients of unanticipated or 'surprise' variables in a single equation for a multi-period expectations horizon. The method naturally conditions the expectations on all past values of the process and avoids the necessity of using two-step regression procedures and adjusting the resulting standard errors.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 4001285
zbMATH Keywords: dynamic models
zbMATH Keywords: surprise variables
zbMATH Keywords: moving average representation
zbMATH Keywords: vector ARMA processes
zbMATH Keywords: multi-period expectations horizon
zbMATH Keywords: two-step regression procedures
MaRDI profile type: Publication
full work available at URL: 0304-4076(87)90083-2
OpenAlex ID: W2035910430
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description: scientific article; zbMATH DE number 4001285