Tests for Forecasts Encompassing When Forecasts Depend on Estimated Regression Parameters
β Scribed by West, Kenneth D
- Book ID
- 120463031
- Publisher
- American Statistical Association
- Year
- 2001
- Tongue
- English
- Weight
- 164 KB
- Volume
- 19
- Category
- Article
- ISSN
- 0735-0015
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π SIMILAR VOLUMES
## Abstract Density forecast (DF) possesses appealing properties when it is correctly specified for the true conditional distribution. Although a number of parametric specification tests have been introduced for the DF evaluation (DFE) in the parameterβfree context, econometric DF models are typica
## ABSTRACT This paper concerns Longβterm forecasts for cointegrated processes. First, it considers the case where the parameters of the model are known. The paper analytically shows that neither cointegration nor integration constraint matters in Longβterm forecasts. It is an alternative implicati