THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED AR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME LARGE

DOI10.1017/S026646669915206XzbMath0963.62085OpenAlexW2004011802MaRDI QIDQ4512734

Gordon C. R. Kemp

Publication date: 5 November 2000

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646669915206x

zbMATH Keywords

Monte Carlo studyAR(1) modelforecast errors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20)

Related Items (4)

Nearly weighted risk minimal unbiased estimation ⋮ Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process ⋮ Averaging estimators for autoregressions with a near unit root ⋮ Median unbiased forecasts for highly persistent autoregressive processes

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