Conditional forecasting with a multivariate time series model

DOI10.1016/0165-1765(86)90238-7zbMATH Open1328.62539OpenAlexW2098261300MaRDI QIDQ899882FDOQ899882

H. S. Van Der Knoop

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90238-7

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Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Convex Programming and Duality in Normed Space
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• Conditional Prediction and Unbiasedness in Structural Equations
• Least Squares, Conditional Predictions, and Estimator Properties

Cited In (6)

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• A Comparison of Conditioned Versus Unconditioned Forecasts of the VAR(1) Process
• Combining a regression model with a multivariate Markov chain in a forecasting problem
• Conditional forecasts on SVAR models using the Kalman filter
• Forecasting with Multivariate Threshold Autoregressive Models

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