Measures of Deterministic Prediction Bias in Nonlinear Models

DOI10.2307/2526782zbMath0675.62079OpenAlexW2034394830MaRDI QIDQ3830394

Roberto S. Mariano, Bryan W. Brown

Publication date: 1989

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

Full work available at URL: https://doi.org/10.2307/2526782

zbMATH Keywords

quadratic formsmodel diagnosticslinear relationshipprediction biasexogenous variablesstochastic predictorslog-linear regression modelindirect measuresdeterministic predictionsestimated nonlinear modelFormal testsgeneralized variance of the endogenous variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Forecasting Stock Returns: Does Switching Between Models Help? ⋮ Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations ⋮ Nonlinear and nonnormal filters using Monte Carlo methods ⋮ Forecasting in nonlinear univariate time series using penalized splines ⋮ Nonlinear filters based on taylor series expansions^∗ ⋮ Stochastic ceteris paribus simulations ⋮ Multi‐step forecasting in the presence of breaks ⋮ Variable selection, estimation and inference for multi-period forecasting problems