Corrigenda: Properties of Predictors for Autoregressive Time Series
From MaRDI portal
Publication:4742201
DOI10.2307/2287633zbMath0505.62083OpenAlexW2324203870MaRDI QIDQ4742201
David P. Hasza, Wayne A. Fuller
Publication date: 1981
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2287633
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items
VAR forecasting under misspecification ⋮ Small sample properties of forecasts from autoregressive models under structural breaks ⋮ Likelihood and other approaches to prediction in dynamic models ⋮ Trends and random walks in macroeconomic time series ⋮ The use of indicator variables in computing predictions ⋮ Prediction mean square error for non-stationary multivariate time series using estimated parameters ⋮ Optimal estimating function for estimation and prediction in semi-parametric models ⋮ Evaluating panel data forecasts under independent realization ⋮ On same-realization prediction in an infinite-order autoregressive process. ⋮ Predictors for the first-order autoregressive process ⋮ Mean estimation bias in least squares estimation of autoregressive processes ⋮ AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models. ⋮ The sampling distributions of the predictor for an autoregressive model under misspecifications ⋮ Prediction of multivariate time series by autoregressive model fitting ⋮ Unit-roots test for time-series data with a linear time trend
