Median unbiased forecasts for highly persistent autoregressive processes

DOI10.1016/S0304-4076(02)00123-9MaRDI QIDQ1868967zbMATH OpenOpenAlexFDO

Authors Nikolay Gospodinov

Publication date 9 April 2003

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

Full work available at URL https://doi.org/10.1016/s0304-4076(02)00123-9

zbMATH Keywords

asymptoticsBootstrapConditional predictive inferenceLocal-to-unityNear-integrated AR process

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 4213240 (Why is no real title available?)
• scientific article; zbMATH DE number 218656 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• A Three-step Method for Choosing the Number of Bootstrap Repetitions
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• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
• Bootstrap Prediction Intervals for Autoregression
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Bootstrap tests: how many bootstraps?
• Bootstrapping general first order autoregression
• Bootstrapping unstable first-order autoregressive processes
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• IMPROVED BOOTSTRAP PREDICTION INTERVALS FOR AUTOREGRESSIONS
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Median unbiased forecasts for highly persistent autoregressive processes
• ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
• Prediction with a Generalized Cost of Error Function
• Some asymptotic theory for the bootstrap
• THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED AR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME LARGE
• The bootstrap and hypothesis tests in econometrics
• The sampling distribution of forecasts from a first-order autoregression
• Towards a unified asymptotic theory for autoregression

Cited in

(6)

• A justification of conditional confidence intervals
• Nearly weighted risk minimal unbiased estimation
• Bootstrap prediction intervals for autoregressive time series
• On median unbiased inference for first order autoregressive models
• Median unbiased estimation of bivariate predictive regression models with heavy-tailed or heteroscedastic errors
• Median unbiased forecasts for highly persistent autoregressive processes

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