Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods

DOI10.2307/1913887MaRDI QIDQ5681449zbMATH OpenOpenAlexFDO

Authors Gregory C. Chow

Publication date 1973

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913887

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

Cited in

(5)

• Likelihood and other approaches to prediction in dynamic models
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• A Bayesian note on competing correlation structures in the dynamic linear regression model
• Bayesian long-run prediction in time series models
• CONTROLLABILITY AND OBSERVABILITY IN THE OPTIMAL CONTROL OF LINEAR ECONOMETRIC MODELS

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