The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model

Peter A. Schmidt

82 citations0/0 files storedEconometrica

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical and numerical algorithms

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This paper considers the asymptotic distribution of forecasts made several time periods in the future. Such forecasts typically arise in the dynamic simulation of an econometric model.

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1992The Final Form of Econometric Equation Systems

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1979Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models 1979The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors 1989Predictors in Dynamic Nonlinear Models: Large-Sample Behavior 1980Predictions from ARMAX models 1980Asymptotic Properties of Prediction Errors for the Multivariate Autoregressive Model Using Estimated Parameters 1993Encompassing the Forecasts of U.S. Trade Balance Models 1990Some efficient tests of international real interest rate parity 1988TESTING RATIONAL EXPECTATIONS AND EFFICIENCY IN THE LONDON METAL EXCHANGE

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