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estimators under very general conditions allowing for mis-specification of the conditional quantile function. Finally, we develop …
Persistent link: https://www.econbiz.de/10005063598
In real time forecasting, the sample is usually split into an estimation period of R observations and a prediction period of P observations, where T=R+P. Parameters are often estimated in a recursive manner, initially using R observations, then R+1 observations and so on until T-1 observations...
Persistent link: https://www.econbiz.de/10005063601