A note on mean squared prediction error under the unit root model with deterministic trend (Q2930888): Difference between revisions

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+Uniform moment bounds of Fisher's information with applications to time series
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+Limiting distributions of least squares estimates of unstable autoregressive processes
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+Properties of Predictors for Autoregressive Time Series
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+Q4840212
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+A Note on Mean‐squared Prediction Errors of the Least Squares Predictors in Random Walk Models
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+PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER
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+Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
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+Properties of Predictors in Misspecified Autoregressive Time Series Models
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+LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
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+Testing for a unit root in time series regression
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+Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
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