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The joint asymptotic distribution of multistep prediction errors of estimated vector autoregressions

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
17
Identifiers
DOI: 10.1016/0165-1765(85)90136-3

Abstract

Abstract The joint asymptotic distribution of multistep prediction errors of an estimated stationary vector autoregressive process is given under the assumption that the order of the underlying process is unknown. This result can, for instance, be used to derive the asymptotic distribution of prediction errors of certain non-stationary processes.

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