Unbiasedness of Predictions from Estimated Autoregressions when the True Order is Unknown

DOI10.2307/1911469zbMath0527.62086OpenAlexW2080613550MaRDI QIDQ3042243

Jean-Marie Dufour

Publication date: 1984

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911469

zbMATH Keywords

autoregressive processesunbiasednessordinary least squaresGaussian stationary processesprediction errorsjointly symmetric processesmoving averages of independent symmetrically distributed innovations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (5)

FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION ⋮ The exact multi-period mean-square forecast error for the first-order autoregressive model ⋮ Forecasting Levels in Loglinear Unit Root Models ⋮ Expectation of quadratic forms in normal and nonnormal variables with applications ⋮ Multi-step estimation and forecasting in dynamic models

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