Econometrica: Sep 1981, Volume 49, Issue 5

Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors<1331:PFTDSE>2.0.CO;2-Z
p. 1331-1337

Richard T. Baillie

The asymptotic distribution of prediction is derived for the general simultaneous equation model with lagged endogenous variables and vector autoregressive errors. The results turn out to be particularly simple when no lagged endogenous variables are present.

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