Likelihood and other approaches to prediction in dynamic models (Q1105969)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 4060606
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Likelihood and other approaches to prediction in dynamic models |
scientific article; zbMATH DE number 4060606 |
Statements
Likelihood and other approaches to prediction in dynamic models (English)
0 references
1987
0 references
We consider the problem of generating multi-period predictions from two simple dynamic models, an autoregressive model and a geometric random walk. The autoregressive model constitutes a useful paradigm for many of the practical problems of prediction because it possesses a number of features that differentiate it sharply from the standard linear regression model. The geometric random walk model is widely used in macroeconomics and finance and is fundamentally non-normal.
0 references
prediction functions
0 references
approximations
0 references
likelihood prediction function
0 references
mean-squared error prediction functions
0 references
Monte-Carlo study
0 references
conditional predictions
0 references
generating multi-period predictions
0 references
dynamic models
0 references
autoregressive model
0 references
geometric random walk model
0 references
macroeconomics
0 references
finance
0 references
non-normal
0 references
0 references
0 references
0.7368307709693909
0 references
0.7368307709693909
0 references
0.7329232692718506
0 references
0.7315773963928223
0 references
