The sampling distributions of the predictor for an autoregressive model under misspecifications

DOI10.1016/0304-4076(84)90005-8zbMath0578.62077OpenAlexW2066564165MaRDI QIDQ1066595

Katsuto Tanaka, Koichi Maekawa

Publication date: 1984

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90005-8

zbMATH Keywords

predictionmeanbiasautoregressive moving average modelsampling distributionsNumerical examplesdependent casesquared errormisspecificationsAsymptotic approximationsh-step-ahead predictorindependent casesnon-zero mean ARMA(1,1) process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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The exact multi-period mean-square forecast error for the first-order autoregressive model

Cites Work

• Unnamed Item
• The sampling distribution of forecasts from a first-order autoregression
• Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean
• Econometric Estimators and the Edgeworth Approximation
• Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
• The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
• Corrigenda: Properties of Predictors for Autoregressive Time Series