Forecast Variance in Dynamic Simulation of Simultaneous Equation Models

DOI10.2307/1913569MaRDI QIDQ3763458zbMATH OpenOpenAlexFDO

Authors Giorgio Calzolari

Publication date 1987

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913569

zbMATH Keywords

dynamic simulation of simultaneous equation systemsvariances of multiperiod forecasts

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Stochastic systems and control (93E99)

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