This paper presents formulae for the standard error of forecast of a single equation and the covariance matrix of forecasts of a complete system of equations that are appropriate when the exogenous variables in the forecast period are stochastic. The problems of defining forecast intervals and multidimensional forecast regions are also discussed.
MLA
Feldstein, Martin S.. “The Error of Forecast in Econometric Models when the Forecast-Period Exogenous Variables are Stochastic.” Econometrica, vol. 39, .no 1, Econometric Society, 1971, pp. 55-60, https://www.jstor.org/stable/1909139
Chicago
Feldstein, Martin S.. “The Error of Forecast in Econometric Models when the Forecast-Period Exogenous Variables are Stochastic.” Econometrica, 39, .no 1, (Econometric Society: 1971), 55-60. https://www.jstor.org/stable/1909139
APA
Feldstein, M. S. (1971). The Error of Forecast in Econometric Models when the Forecast-Period Exogenous Variables are Stochastic. Econometrica, 39(1), 55-60. https://www.jstor.org/stable/1909139
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