Title

Stochastic Prediction in Dynamic Nonlinear Econometric Systems

Publication Type

Journal Article

Publication Date

1985

Abstract

This paper considers the large-sample asymptotic behavior of predictors in dynamic nonlinear econometric models. The analytical results summarized in this paper document potential deficiencies in the common practice of forecasting through deterministic simulations of the nonlinear model. For asymptotic prediction efficiency, alternative forecasting procedures based on stochastic simulations of the model are analyzed. In particular, the paper focuses on stochastic simulations based on calculated residuals to develop more robust forecasting procedures in dynamic nonlinear systems.

Discipline

Economics

Research Areas

Econometrics

Publication

Annales de l’INSEE

Issue

59/60

First Page

267

Last Page

278

ISSN

0019-0209

Publisher

Institut national de la statistique et des études économiques

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