The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model

DOI10.2307/1911980MaRDI QIDQ4773199zbMATH OpenOpenAlexFDO

Authors

Publication date 1974

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1911980

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20) Trade models (91B60)

Cited in

(9)

• An econometric model of the petroleum industry
• Prediction of multivariate time series by autoregressive model fitting
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
• Forecasting Levels in Loglinear Unit Root Models
• Predictions from ARMAX models
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• The sampling distribution of forecasts from a first-order autoregression
• Quantile regression for dynamic panel data with fixed effects
• Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung

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