ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS

D. Ray

Journal of Time Series Analysis, 1988, vol. 9, issue 1, 73-80

Abstract: In this paper, an expression for the asymptotic mean square error in predicting more than one step ahead from a p‐variate autoregressive model with random coefficients is derived. Two cases are investigated: (i) when the parameters are known, and (ii) when the parameters are estimated.

Date: 1988
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https://doi.org/10.1111/j.1467-9892.1988.tb00454.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:1:p:73-80

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