Econometrica: Jan 1973, Volume 41, Issue 1
Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods
Gregory C. ChowGiven 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.
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