A Note on the Estimation and Prediction Inefficiency of "Dynamic" Estimators

DOI10.2307/2526106zbMATH Open0294.62124OpenAlexW1976765248MaRDI QIDQ4047007FDOQ4047007

H. N. Johnston

Publication date: 1974

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

Full work available at URL: https://doi.org/10.2307/2526106

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Stochastic analysis (60H99)

Cited In (2)

• Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns
• Multi-step estimation and forecasting in dynamic models

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