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

DOI10.1016/0304-4076(88)90062-0zbMath0668.62070OpenAlexW2133992324MaRDI QIDQ1118311

Jan R. Magnus, Asraul Hoque, Bahram Pesaran

Publication date: 1988

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

Full work available at URL: https://pure.uvt.nl/ws/files/1179090/MJHAPB5612872.pdf

zbMATH Keywords

normal autoregressive modelfinite-sample behaviourforecast biasmean-square forecast errormulti-period least-squares forecast

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Probabilistic methods, stochastic differential equations (65C99)

Related Items

FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION, Properties of optimal forecasts under asymmetric loss and nonlinearity, Expectation of quadratic forms in normal and nonnormal variables with applications, The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept, Multi‐step forecasting in the presence of breaks, Variable selection, estimation and inference for multi-period forecasting problems, Multi-step estimation and forecasting in dynamic models, Forecast accuracy and effort: The case of US inflation rates

Uses Software

• NAG
• nag

Cites Work

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