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Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models

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References

1979The sampling distribution of forecasts from a first-order autoregression105 cited
1976Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients103 cited
1974The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model82 cited
1972On the Error of Prediction of a Time Series54 cited

Cited by

1984Theory and practice of multivariate arma forecasting41 cited
1990Predictive Accuracy Gain From Disaggregate Sampling in ARIMA Models39 cited
2001Prediction in ARMA Models with GARCH in Mean Effects36 cited
2014Bootstrap multi-step forecasts of non-Gaussian VAR models35 cited
1988Prediction tests for structural stability15 cited

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