The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept

DOI10.1016/0304-4076(89)90001-8zbMath0692.62075OpenAlexW2154181468MaRDI QIDQ583802

Jan R. Magnus, Bahram Pesaran

Publication date: 1989

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

Full work available at URL: https://pure.uvt.nl/portal/en/publications/the-exact-multiperiod-meansquare-forecast-error-for-the-firstorder-autoregressive-model-with-an-intercept(7e639692-03d0-4464-a966-8f91dcc63d16).html

zbMATH Keywords

interceptexact finite-sample behaviour of the mean-square forecast errormulti- period least-squares forecastsnormal autoregressive model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items

Properties of optimal forecasts under asymmetric loss and nonlinearity, Multi-step estimation and forecasting in dynamic models

Uses Software

• NAG
• nag

Cites Work

• Unnamed Item
• Predictors for the first-order autoregressive process
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• Properties of Predictors for Autoregressive Time Series
• First Order Autoregression: Inference, Estimation, and Prediction