Interval forecasting in cointegrated systems
type: Item
instance of: scholarly article
title: Interval forecasting in cointegrated systems
zbMATH Open document ID: 0851.62064
DOI: 10.1007/BF02926048
author: Hans-Eggert Reimers
published in: Statistical Papers
publication date: 1996-11-11T00:00:00Z
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62F25
zbMATH DE Number: 844660
zbMATH Keywords: cointegrated systems
zbMATH Keywords: error component
zbMATH Keywords: vectorautoregressive models
zbMATH Keywords: correction term
zbMATH Keywords: error correction
zbMATH Keywords: Monte Carlo study
zbMATH Keywords: nominal level
zbMATH Keywords: confidence interval of forecasting
zbMATH Keywords: observed level
zbMATH Keywords: estimated coefficients
zbMATH Keywords: small sample size
MaRDI profile type: Publication
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cites work: Impulse response analysis of cointegrated systems
cites work: Q4003711
cites work: Q3902363
cites work: Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
full work available at URL: https://doi.org/10.1007/bf02926048
OpenAlex ID: W2054751074
description: scientific article; zbMATH DE number 844660