The Effect of Estimating Parameters on Long‐Term Forecasts for Cointegrated Systems

DOI10.1002/for.1230zbMath1397.62300OpenAlexW2118334668MaRDI QIDQ4687265

Taku Yamamoto, Hiroaki Chigira

Publication date: 11 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.1230

zbMATH Keywords

relative accuracyARIMA forecastingestimation of the drift term

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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