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  3. American Economic Review
  4. May 2001
  5. Minimax Estimation and Forecasting in a Stationary Autoregression Model

Minimax Estimation and Forecasting in a Stationary Autoregression Model

  • Gary Chamberlain
American Economic Review
vol. 91, no. 2, May 2001
(pp. 55-59)
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Citation

Chamberlain, Gary. 2001. "Minimax Estimation and Forecasting in a Stationary Autoregression Model." American Economic Review, 91 (2): 55-59. DOI: 10.1257/aer.91.2.55

JEL Classification

  • G11 Portfolio Choice; Investment Decisions
  • C53 Forecasting and Other Model Applications
  • D81 Criteria for Decision-Making under Risk and Uncertainty
  • C22 Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions