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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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  • Schmidt, Peter, 1974. "The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model," Econometrica, Econometric Society, vol. 42(2), pages 303-309, March.
    • Handle: RePEc:ecm:emetrp:v:42:y:1974:i:2:p:303-09
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    Cited by:

    1. Neil R. Ericsson & Jaime R. Marquez, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
    2. Hendry, David F. & Martinez, Andrew B., 2017. "Evaluating multi-step system forecasts with relatively few forecast-error observations," International Journal of Forecasting, Elsevier, vol. 33(2), pages 359-372.
    3. John W. Freebairn, 1975. "Forecasting For Australian Agriculture," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 19(3), pages 154-174, December.
    4. Stefan Gerlach, 1996. "Monetary policy and the behaviour of interest rates: are long rates excessively volatile?," BIS Working Papers 34, Bank for International Settlements.
    5. 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.
    6. 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.
    7. 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.
    8. Andrew Patton & Allan Timmermann, 2012. "Forecast Rationality Tests Based on Multi-Horizon Bounds," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-17.
    9. 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.
    10. 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.
    11. Bianchi, Carlo & Calzolari, Giorgio, 1980. "A simulation approach to some dynamic properties of econometric models," MPRA Paper 24421, University Library of Munich, Germany.
    12. Bianchi, Carlo & Calzolari, Giorgio & Brillet, Jean-Louis, 1987. "Measuring forecast uncertainty : A review with evaluation based on a macro model of the French economy," International Journal of Forecasting, Elsevier, vol. 3(2), pages 211-227.
    13. Bianchi, Carlo & Calzolari, Giorgio, 1979. "Simulation of a nonlinear econometric model," MPRA Paper 24440, University Library of Munich, Germany, revised 1980.
    14. Capistrán Carlos, 2007. "Optimality Tests for Multi-Horizon Forecasts," Working Papers 2007-14, Banco de México.
    15. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
    16. Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers 695, Board of Governors of the Federal Reserve System (U.S.).
    17. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
    18. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Confidence intervals of forecasts from nonlinear econometric models," MPRA Paper 29025, University Library of Munich, Germany.
    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;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 123(4), pages 579-591, December.
    20. 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.

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