Asymptotic Likelihood-Based Prediction Functions

DOI10.2307/2938307MaRDI QIDQ3978784zbMATH OpenOpenAlexFDO

Authors Thomas F. Cooley, William R. Parke

Publication date 25 June 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/7cd2783d2fdadd27f77526f3ff3050442f55d1df

zbMATH Keywords

ARCH modelsasymptotic prediction functionsKullback-Leibler measure of information losslinear-normal modelsnonnormal errorsparameter uncertaintypredictive efficiencypredictive likelihoodrelative efficiency

Mathematics Subject Classification ID

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

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• The asymptotic efficiency of improved prediction intervals
• A note on asymptotic parametric prediction

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