Asymptotic prediction mean squared error for vector autoregressive models

The Statistical Analysis of Time Series.

1995 • 2,128 citations

The Estimation of Parameters in Multivariate Time Series Models

1973 • 127 citations

The sampling distribution of forecasts from a first-order autoregression

1979 • 110 citations

Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients

1976 • 107 citations

The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model

1974 • 88 citations

The prediction error of stationary Gaussian time series of unknown covariance

1965 • 74 citations

The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors

1979 • 50 citations

On the error of prediction of a time series

1972 • 45 citations

Some Small Sample Evidence on the Distribution of Dynamic Simulation Forecasts

1977 • 30 citations