Median unbiased forecasts for highly persistent autoregressive processes

DOI10.1016/S0304-4076(02)00123-9zbMath1025.62031OpenAlexW2148589974MaRDI QIDQ1868967

Nikolay Gospodinov

Publication date: 9 April 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00123-9

zbMATH Keywords

asymptoticsBootstrapConditional predictive inferenceLocal-to-unityNear-integrated AR process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

Related Items (4)

Nearly weighted risk minimal unbiased estimation ⋮ A justification of conditional confidence intervals ⋮ Bootstrap prediction intervals for autoregressive time series ⋮ Median unbiased forecasts for highly persistent autoregressive processes

Cites Work

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• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Prediction with a Generalized Cost of Error Function

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