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https://elib.bsu.by/handle/123456789/94039| Title: | Evaluation of the Maximum Admissible Forecast Horizon of a Simple Bilinear Process |
| Authors: | Charemza, W. W. Kharin, Yu. S. |
| Keywords: | ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатика |
| Issue Date: | 2007 |
| Publisher: | Minsk: BSU |
| Abstract: | The paper aims at assessing the forecast risk and the maximum admissible forecast horizon, where a distortion is caused by a simple first-order bilinear process. The concept of the p-maximum admissible forecast risk is proposed and discussed. It has been evaluated for monthly inflation series for 141 countries. The dominant maximum admissible forecast horizon for non-systematic inflation is equal to 8 months, while for the headline inflation it is equal to 19 months. |
| URI: | http://elib.bsu.by/handle/123456789/94039 |
| Appears in Collections: | Section 6. ECONOMETRIC ANALYSIS AND MODELING |
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