Given 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.
MLA
Chow, Gregory C.. “Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods.” Econometrica, vol. 41, .no 1, Econometric Society, 1973, pp. 109-118, https://www.jstor.org/stable/1913887
Chow, G. C. (1973). Multiperiod Predictions from Stochastic Difference Equations by Bayesian Methods. Econometrica, 41(1), 109-118. https://www.jstor.org/stable/1913887
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