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The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
4 references·2 citing·17 second hop
The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors (1979)The Asymptotic Mean Squared Error of Mult…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients (1976)Asymptotic Mean Square Predic…The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model (1974)The Asymptotic Distribution o…Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis, Forecas…Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors (1981)Prediction from the Dynamic S…Predictions from ARMAX models (1980)Predictions from ARMAX modelsIntroduction to Stochastic Control Theory (1970)Time series analysis and simultaneous equation econometric models (1974)Measuring the Advantages of Multivariate vs. Univariate Forecasts (2007)Multistep predictions for multivariate GARCH models: Closed form solution and the value for portfolio management (2008)Portfolio optimisation under flexible dynamic dependence modelling (2018)Predictors in Dynamic Nonlinear Models: Large-Sample Behavior (1989)The Final Form of Econometric Equation Systems (1992)Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models (1979)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)Effects of Not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction—I (1981)Properties of Predictors in Misspecified Autoregressive Time Series Models (1985)Mean squared prediction error in the spatial linear model with estimated covariance parameters (1992)Long memory relationships and the aggregation of dynamic models (1980)Understanding spurious regressions in econometrics (1986)25 years of time series forecasting (2006)
this work references cited by second hop

References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1971Time Series Analysis, Forecasting and Control.2,771 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

Cited by

  • 1980Predictions from ARMAX models45 cited
  • 1981Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors33 cited

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