Asymptotic Likelihood-Based Prediction Functions

DOI10.2307/2938307zbMATH Open0778.62086OpenAlexW1554461655MaRDI QIDQ3978784FDOQ3978784

Authors: Thomas F. Cooley, William R. Parke 

Publication date: 25 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7cd2783d2fdadd27f77526f3ff3050442f55d1df

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zbMATH Keywords

parameter uncertaintyrelative efficiencyARCH modelspredictive likelihoodpredictive efficiencynonnormal errorsasymptotic prediction functionsKullback-Leibler measure of information losslinear-normal models

Mathematics Subject Classification ID

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

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• Asymptotic Inference about Predictive Ability
• The asymptotic efficiency of improved prediction intervals
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