Stochastic Prediction in Dynamic Nonlinear Econometric Systems

• المؤلفون الرئيسيون: Mariano, Roberto S., Brown, B.W.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1985
• الموضوعات: Economics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/65

This paper considers the large-sample asymptotic behavior of predictors in dynamic nonlinear econometric models. The analytical results summarized in this paper document potential deficiencies in the common practice of forecasting through deterministic simulations of the nonlinear model. For asympto...