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Multiperiod Prediction from Dynamic Models with Autocorrelated Errors Conditional on Feedback Rules for the Future Policy Variables

  • Ralph Friedmann
Chapter
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Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 3)

Abstract

The dynamic simulation of an econometric model produces predictions over several periods ahead which are conventionally taken as conditional on given values of the policy instrument variables and non-controlled exogenous variables. For such multiperiod predictions, Schmidt (1974) derived the asymptotic distribution of the prediction error where the model disturbances are serially uncorrelated. For the model with autocorrelated errors, Yamamoto (1980) developed the optimal multiperiod prediction scheme and its asymptotic distribution.

Keywords

Prediction Error Policy Variable Control Rule Certainty Equivalent Optimal Feedback 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Martinus Nijhoff Publishers. Dordrecht/Boston/Lancaster 1984

Authors and Affiliations

  • Ralph Friedmann
    • 1
  1. 1.University of BielefeldGermany

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