A note on mean squared prediction error under the unit root model with deterministic trend
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Publication:2930888
DOI10.1111/j.1467-9892.2011.00757.xzbMath1300.62085OpenAlexW1905733472MaRDI QIDQ2930888
Chien-Chih Lin, Hung-Wen Cheng, Shu-Hui Yu
Publication date: 20 November 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00757.x
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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- PREDICTION ERRORS IN NONSTATIONARY AUTOREGRESSIONS OF INFINITE ORDER
- Properties of Predictors in Misspecified Autoregressive Time Series Models
- Testing for a unit root in time series regression
- Properties of Predictors for Autoregressive Time Series
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- 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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