Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System

DOI10.2307/2648783zbMATH Open0548.62072OpenAlexW1969597697MaRDI QIDQ3339995FDOQ3339995

Authors: Roberto S. Mariano, Bryan Brown 

Publication date: 1983

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2648783

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zbMATH Keywords

asymptotic expansionsasymptotic momentscomparison of deterministic and stochastic predictorsmeasures of asymptotic bias and mean squared errornonlinear simultaneous systempoint predictors

Mathematics Subject Classification ID

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

Cited In (8)

• Nonlinear and nonnormal filters using Monte Carlo methods
• Measures of Deterministic Prediction Bias in Nonlinear Models
• Nonlinear filters based on taylor series expansions^∗
• Optimal prediction in loglinear models
• Statistical comparison between linear and nonlinear predictors
• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
• Forecast uncertainty reduction in nonlinear models

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