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

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  • Schmidt, Peter

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 42 (1974)
Issue (Month): 2 (March)
Pages: 303-09

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Handle: RePEc:ecm:emetrp:v:42:y:1974:i:2:p:303-09

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Cited by:
  1. Stefan Gerlach, 1996. "Monetary policy and the behaviour of interest rates: are long rates excessively volatile?," BIS Working Papers 34, Bank for International Settlements.
  2. Chong, Yock Y & Hendry, David F, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 671-90, August.
  3. Jaime Marquez & Neil R. Ericsson, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
  4. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Confidence intervals of forecasts from nonlinear econometric models," MPRA Paper 29025, University Library of Munich, Germany.
  5. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Forecast variance in simultaneous equation models: analytic and Monte Carlo methods," MPRA Paper 24541, University Library of Munich, Germany.
  6. Bianchi, Carlo & Calzolari, Giorgio, 1980. "A simulation approach to some dynamic properties of econometric models," MPRA Paper 24421, University Library of Munich, Germany.
  7. Andrew J. Patton & Allan Timmermann, 2011. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17, June.
  8. Bianchi, Carlo & Calzolari, Giorgio, 1982. "Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods," MPRA Paper 22559, University Library of Munich, Germany.
  9. Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers 695, Board of Governors of the Federal Reserve System (U.S.).
  10. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
    [Forecast variance in econometric models]
    ," MPRA Paper 23866, University Library of Munich, Germany.
  11. Bianchi, Carlo & Calzolari, Giorgio & Weihs, Claus, 1986. "Parametric and nonparametric Monte Carlo estimates of standard errors of forecasts in econometric models," MPRA Paper 29120, University Library of Munich, Germany.
  12. Freebairn, John W., 1975. "Forecasting For Australian Agriculture," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 19(03), December.
  13. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
  14. David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
  15. Bianchi, Carlo & Calzolari, Giorgio, 1978. "La varianza dell'errore di previsione nei modelli econometrici: applicazione ad un modello nonlineare dell'economia italiana
    [The variance of forecast errors in econometric models: application to a
    ," MPRA Paper 29121, University Library of Munich, Germany.
  16. Bianchi, Carlo & Calzolari, Giorgio, 1979. "Simulation of a nonlinear econometric model," MPRA Paper 24440, University Library of Munich, Germany, revised 1980.
  17. Carlos Capistrán, 2007. "Optimality Tests for Multi-Horizon Forecasts," Working Papers 2007-14, Banco de México.
  18. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results," MPRA Paper 22657, University Library of Munich, Germany, revised 1983.
  19. Mark Taylor, 1987. "Risk premia and foreign exchange: A multiple time series approach to testing uncovered interest-rate parity," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 123(4), pages 579-591, December.

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