Pesaran, M. Hashem (contributor); … - 2006
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atimmerm@ucsd.edu
January 2006
We would like to thank Ron Smith and Martin …
T
= lim
H→∞
(
H
X
h=1
δ
h
E(x
T+h
|I
T
)
)
, (1)
where I
T
is the forecaster’s information at time T, r>0 is the (known …) discount rate so the
discount factor, δ =(1+r)
−1
, lies in (0,1), and E (x
T+h
|I
T
) is the conditional expectation taken …