Ergodic properties of conditional forecast functions of stable systems (☆)
AbstractThis paper analyzes the behavior of conditional forecast functions in stable systems. We study convergence of optimal forecast functions, of forecast functions obtained by conditioning on previous values, and conditional and joint densities.
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 8 (1996)
Issue (Month): 3 ()
Note: Received: December 9, 1994;revised version December 20, 1995
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Web page: http://link.springer.de/link/service/journals/00199/index.htm
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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