Unbiasedness of Predictions from Estimated Autoregressions when the True Order is Unknown
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Publication:3042243
DOI10.2307/1911469zbMath0527.62086OpenAlexW2080613550MaRDI QIDQ3042243
Publication date: 1984
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1911469
autoregressive processesunbiasednessordinary least squaresGaussian stationary processesprediction errorsjointly symmetric processesmoving averages of independent symmetrically distributed innovations
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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