Likelihood and other approaches to prediction in dynamic models

DOI10.1016/0304-4076(87)90084-4MaRDI QIDQ1105969zbMATH OpenOpenAlexFDO

Authors Thomas F. Cooley, William R. Parke

Publication date 1987

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(87)90084-4

zbMATH Keywords

approximationsautoregressive modelconditional predictionsdynamic modelsfinancegenerating multi-period predictionsgeometric random walk modellikelihood prediction functionmacroeconomicsmean-squared error prediction functionsMonte-Carlo studynon-normalprediction functions

Mathematics Subject Classification ID

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

Review text

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.

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Cites work

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Cited in

(5)

• Predictive efficiency for simple non-linear models
• Prediction of future observations using belief functions: a likelihood-based approach
• scientific article; zbMATH DE number 4082807 (Why is no real title available?)
• On empirical likelihood test for predictability
• A prediction conjecture for multiparameter markets

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