Coherent Forecast with Nonlinear Econometric Models
The drawbacks of forecasts obtained with the usual deterministic solution methods in nonlinear systems of stochastic equations have been widely investigated in the literature. Most of the proposed therapies are based on some estimation of the conditional mean of the endogenous variables in the forecast period. This however provides a solution to the problem which does not respect the internal coherency of the model, and in particular does not satisfy nonlinear identities. This paper proposes to estimate the mode of the joint distribution of the endogenous variables as an alternative optimal predictor.
|Date of creation:||12 Jun 1988|
|Publication status:||Published in paper presented at The Eighth International Symposium on Forecasting. Universiteit van Amsterdam and Vrije Universiteit Amsterdam, June 12-15. (1988): pp. 1-6|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389 Elsevier.
- Brillet, Jean-Louis & Calzolari, Giorgio & Panattoni, Lorenzo, 1986. "Coherent optimal prediction with large nonlinear systems: an example based on a French model," MPRA Paper 29057, University Library of Munich, Germany.
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