The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Oct, 1961, Volume 29, Issue 4
https://www.jstor.org/stable/1911803
p. 544-555
Arnold Zellner, John W. Hooper
In this paper the problem of constructing a generalized error of forecast for a set of dependent variables in a multi variate regression model (which may be the set of reduced-form equations of an econometric model) is considered. The distribution of this multivariate error of forecast is derived and its use in the construction of probabilistic forecast regions is presented.
