caa a22 4500 386371636 CHVBK 20180307112000.0 cr unu---uuuuu 161130e198912 xx s 000 0 eng 10.1017/S0266466600012603 doi S0266466600012603 pii (NATIONALLICENCE)cambridge-10.1017/S0266466600012603 Predictors in Dynamic Nonlinear Models: Large-Sample Behavior [Elektronische Daten] The large-sample behavior of one-period-ahead and multiperiod-ahead predictors for a dynamic nonlinear simultaneous system is examined in this paper. Conditional on final values of the endogenous variables, the asymptotic moments of the deterministic, closed-form, Monte Carlo stochastic, and several variations of the residual-based stochastic predictor are analyzed. For one-period-ahead prediction, the results closely parallel our previous findings for static nonlinear systems. For multiperiod-ahead prediction similar results hold, except that the effective number of sample-period residuals available for use with the residual-based predictor is T/m, where T denotes sample size. In an attempt to avoid the problems associated with sample splitting, the complete enumeration predictor is proposed which is a multiperiod-ahead generalization of the one-period-ahead residual-based predictor. A bootstrap predictor is also introduced which is similar to the multiperiod-ahead Monte Carlo except disturbance proxies are drawn from the empirical distribution of the residuals. The bootstrap predictor is found to be asymptotically inefficient relative to both the complete enumeration and Monte Carlo predictors. Copyright © Cambridge University Press 1989 Brown Bryan W. Rice University Mariano Roberto S. University of Pennsylvania Econometric Theory Cambridge University Press 5/3(1989-12), 430-452 0266-4666 5:3<430 1989 5 ECT https://doi.org/10.1017/S0266466600012603 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1017/S0266466600012603 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Brown Bryan W. Rice University NATIONALLICENCE 700 1- Mariano Roberto S. University of Pennsylvania NATIONALLICENCE 773 0- Econometric Theory Cambridge University Press 5/3(1989-12), 430-452 0266-4666 5:3<430 1989 5 ECT CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge