Estimation bias and feasible conditional forecasts from the first-order moving average model

DOI10.1515/jtse-2013-0015zbMath1499.62297OpenAlexW3123018327MaRDI QIDQ1695568

Yong Bao, Ru Zhang

Publication date: 7 February 2018

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

Full work available at URL: https://doi.org/10.1515/jtse-2013-0015

zbMATH Keywords

biasmoving averagefeasible forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point estimation (62F10)

Cites Work

• The second-order bias and mean squared error of estimators in time-series models
• The second-order bias and mean squared error of nonlinear estimators
• The sampling distribution of forecasts from a first-order autoregression
• Bias correction in ARMA models
• Least absolute deviation estimation for all-pass time series models
• Expectation of quadratic forms in normal and nonnormal variables with applications
• Quasi-likelihood Estimation of Non-invertible Moving Average Processes
• FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
• Some Small Sample Evidence on the Distribution of Dynamic Simulation Forecasts
• Finite Sample Econometrics
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