Estimation Bias in the First-Order Autoregressive Model and Its Impact on Predictions and Prediction Intervals

DOI10.1080/03610910802645354zbMath1290.62081OpenAlexW2066775884MaRDI QIDQ3625349

Johannes Ledolter

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910802645354

zbMATH Keywords

predictionprediction intervalbias-correctionfirst-order autoregressive modelleast squares estimate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Improved autoregressive forecasts in the presence of non-normal errors

Cites Work

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• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• First Order Autoregression: Inference, Estimation, and Prediction

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