Multi-step estimation and forecasting in dynamic models

DOI10.1016/0304-4076(91)90035-CzbMath0722.62070MaRDI QIDQ756348

Andrew A. Weiss

Publication date: 1991

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo; squared errors; ordinary least squares; large samples; OLS; misspecified model; small samples; multi-step forecasting; sum of squared multi-step forecast errors

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

Related Items

Autoregressive model selection for multistep prediction, Asymptotically efficient autoregressive model selection for multistep prediction

Uses Software

• nlmdl

Cites Work

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