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The error of prediction for a simultaneous equation model

Author

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  • Alexander Gorobets

    (Sevastopol National Technical University)

Abstract

In this paper the formulas for the matrices of the mean squared prediction error are derived for both the underfitted and the overfitted models of unrestricted reduced form of a linear simultaneous equation system.

Suggested Citation

  • Alexander Gorobets, 2005. "The error of prediction for a simultaneous equation model," Economics Bulletin, AccessEcon, vol. 3(17), pages 1-7.
    • Handle: RePEc:ebl:ecbull:eb-04c30004
    as

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    References listed on IDEAS

    as
    1. Nagar, Anirudh L. & Sahay, Surottam N., 1978. "The bias and mean squared error of forecasts from partially restricted reduced form," Journal of Econometrics, Elsevier, vol. 7(2), pages 227-243, June.
    2. Dhrymes, Phoebus J, 1973. "Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency," Econometrica, Econometric Society, vol. 41(1), pages 119-134, January.
    3. Park, Soo-Bin, 1982. "A forecasting property of the unrestricted, restricted, and partially restricted reduced-form coefficients," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 385-390, August.
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    Cited by:

    1. Alexander Gorobets, 2005. "The Optimal Prediction Simultaneous Equations Selection," Economics Bulletin, AccessEcon, vol. 3(36), pages 1-8.
    2. repec:ebl:ecbull:v:3:y:2005:i:36:p:1-8 is not listed on IDEAS

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