Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models

Richard T. Baillie

52 citations0/0 files storedBiometrika

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Forecasting Techniques and Applications Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

This paper derives the asymptotic mean squared error of multistep prediction for the general vector autoregressive process. For one-step-ahead prediction the result is a surprisingly simple generalization of the result for the scalar autoregressive process. Results for multistep prediction are also derived for the regression model with autoregressive errors, where the set of exogenous variables follows a vector autoregressive process.

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References

1979The sampling distribution of forecasts from a first-order autoregression 1976Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients 1974The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model 1972On the Error of Prediction of a Time Series

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1984Theory and practice of multivariate arma forecasting 1990Predictive Accuracy Gain From Disaggregate Sampling in ARIMA Models 2001Prediction in ARMA Models with GARCH in Mean Effects 2014Bootstrap multi-step forecasts of non-Gaussian VAR models 1988Prediction tests for structural stability

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