Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process

DOI10.1111/j.1467-9892.2004.01869.xzbMath1062.62214OpenAlexW3122790097MaRDI QIDQ4677032

Paul Newbold, Tae-Hwan Kim, Stephen J. Leybourne

Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01869.x

zbMATH Keywords

predictionleast squares estimationtrend stationary process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05)

Related Items

A note on mean squared prediction error under the unit root model with deterministic trend ⋮ Averaging estimators for autoregressions with a near unit root

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