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The Error of Forecast for Multivariate Regression Models
John W. Hooper
Arnold Zellner
Abstract
In this paper the problem of constructing a generalized error of forecast for a set of dependent variables in a multi variate regression model (which may be the set of reduced-form equations of an econometric model) is considered. The distribution of this multivariate error of forecast is derived and its use in the construction of probabilistic forecast regions is presented.
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