The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions
DOI10.1016/0165-1765(85)90136-3zbMATH Open1273.62276OpenAlexW2088836901MaRDI QIDQ375038FDOQ375038
Authors: Helmut Lütkepohl 
Publication date: 24 October 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(85)90136-3
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Cites Work
Cited In (7)
- Estimation and inference of the vector autoregressive process under heteroscedasticity
- Multistep prediction of panel vector autoregressive processes
- ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS
- Title not available (Why is that?)
- Asymptotic distributions of prediction errors and related tests of fit for nonstationary processes
- Prediction in dynamic models with time-dependent conditional variances
- Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung
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