Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung
type: Item
instance of: scholarly article
title: Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung
zbMATH Open document ID: 0546.62078
DOI: 10.1007/BF01915177
published in: Metrika
publication date: 1984-01-01T00:00:00Z
full work available at URL: https://eudml.org/doc/175923
review text: Based on previous work on the asymptotic distribution of forecast errors in simultaneous equation models - either in their structural or in their reduced forms - the author extends the analysis to the case in which lagged endogenous variables up to order p appear in the model as additional regressors and in which interest concentrates on the l-step ahead forecasts of the endogenous variables. The author derives the asymptotic distributions of the forecast errors, firstly for the m-component vector of forecast errors (when there are m endogenous variables in the model) and for the whole matrix of forecast errors, the joint distribution of the p vectors of forecast errors. A distinction in made between unrestricted and derived, restricted reduced form parameter estimates. In the latter case the reduced form coefficients are derived by standard formulae given a priori knowledge of the structural parameters, whereas in the first case the reduced form coefficients are obtained directly by applying OLS. Within this context questions of asymptotic efficiency of the forecast estimates are addressed. With respect to the efficiency of the forecasting estimation techniques a result is obtained similar to the known results in estimation of simultaneous equations models. Finally, a predictive test is suggested. Proofs are included.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62E20
zbMATH DE Number: 3870461
zbMATH Keywords: higher order linear dynamic econometric model
zbMATH Keywords: prediction
zbMATH Keywords: lagged endogenous variables
zbMATH Keywords: l-step ahead forecasts
zbMATH Keywords: forecast errors
zbMATH Keywords: reduced form parameter estimates
zbMATH Keywords: asymptotic efficiency
zbMATH Keywords: predictive test
author: Walter Katzenbeisser
MaRDI profile type: Publication
cites work: Q5631966
cites work: The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
cites work: Asymptotic prediction mean squared error for vector autoregressive models
cites work: Multiplier Effects for Higher than First Order Linear Dynamic Econometric Models
cites work: On the Asymptotic Distribution of Impact and Interim Multipliers
cites work: Q4049906
cites work: Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency
cites work: The Error of Forecast in Econometric Models when the Forecast-Period Exogenous Variables are Stochastic
cites work: The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model
cites work: Q3783791
cites work: The Error of Forecast for Multivariate Regression Models
cites work: Simultaneous Confidence Intervals in Econometric Forecasting
cites work: Q3889979
cites work: Q5586862
cites work: Q3259356
cites work: The Asymptotic Distribution of Dynamic Multipliers
cites work: The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
cites work: Q4124164
cites work: Some Small Sample Evidence on the Distribution of Dynamic Simulation Forecasts
cites work: Q4173620
cites work: Q5654914
cites work: Rectangular Confidence Regions for the Means of Multivariate Normal Distributions
description: scientific article; zbMATH DE number 3870461