Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression

DOI10.1111/1467-9892.00211zbMath0968.62067OpenAlexW3123162394MaRDI QIDQ2722251

Daniel Peña, Ismael Sánchez

Publication date: 11 July 2001

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

Full work available at URL: http://hdl.handle.net/10016/10347

zbMATH Keywords

autoregressive processesparsimonyunit rootspredictive mean squared errornear nonstationarity

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10) Prediction theory (aspects of stochastic processes) (60G25)

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