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Estimation and Prediction in Dynamic Econometric Models

In: Econometrics and Economic Theory

Author

Listed:
  • H. N. Johnston

    (University of Pennsylvania)

  • L. R. Klein

    (University of Pennsylvania)

  • K. Shinjo

    (University of Pennsylvania)

Abstract

The presence of lags and other dynamic operators in the equation systems of economics is known to be a complicating factor in many aspects of estimation theory, but accepted practice is to follow the ‘comforting’ asymptotic result of Mann and Wald [6] that maximum likelihood estimates of linear difference equation systems are based on the specification that lagged variables may be formally treated like exogenous variables. Mann and Wald required dynamic stability, normality of error, stability of the distribution, and other assumptions that are usually made.

Suggested Citation

  • H. N. Johnston & L. R. Klein & K. Shinjo, 1974. "Estimation and Prediction in Dynamic Econometric Models," Palgrave Macmillan Books, in: Willy Sellekaerts (ed.), Econometrics and Economic Theory, chapter 2, pages 27-56, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-01936-6_2
    DOI: 10.1007/978-1-349-01936-6_2
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    Cited by:

    1. Chevillon, Guillaume & Hendry, David F., 2005. "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 21(2), pages 201-218.
    2. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.

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