Econometrica Vol. 41 No. 4 1973
Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods
Abstract
[Given n observations on a system of linear stochastic difference equations with appropriate initial conditions, and given a prior density (possibly diffuse) of its parameters, this paper obtains the predictor of the time series k periods into the future with minimum mean squared error. Completely analytical solution is given for predictions from the first-order univariate system, and, in the general higher-order multivariate case, for k up to 5.]
- DOI
- 10.2307/1914104
- Volume
- 41
- Issue
- 4
- Pages
- 796
- Sources
- bibtex:phds-export.bib openalex crossref