Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors

DOI10.2307/1912757zbMATH Open0464.62106OpenAlexW2088808610MaRDI QIDQ3915892FDOQ3915892

Authors: Richard T. Baillie 

Publication date: 1981

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b1c78615382c097b28199710243490fb30ae1267

zbMATH Keywords

multistep predictiongeneral dynamic simultaneous equation modelvector autoregressive errors

Mathematics Subject Classification ID

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

Cited In (3)

• Econometric tests of rationality and market efficiency
• On robust forecasting in dynamic vector time series models
• Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates

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