A study on misspecified nonstationary autoregressive time series with a unit root

DOI10.1111/1467-9892.00063zbMATH Open0882.62086OpenAlexW2039373561MaRDI QIDQ4367889FDOQ4367889

Authors: Dong Wan Shin, Yoon-Dong Lee 

Publication date: 5 March 1998

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00063

Recommendations

• Properties of Predictors in Misspecified Autoregressive Time Series Models
• The Misspecification of Arma Models
• scientific article; zbMATH DE number 1240616
• Prediction errors in nonstationary autoregressions of infinite order

zbMATH Keywords

misspecificationunit rootprediction mean squared errornonstationary autoregressive time seriesoverdifferencing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

Cited In (4)

• Properties of Predictors in Misspecified Autoregressive Time Series Models
• Prediction errors in nonstationary autoregressions of infinite order
• Misspecification of noncausal order in autoregressive processes
• Estimating cointegrated systems using subspace algorithms

This page was built for publication: A study on misspecified nonstationary autoregressive time series with a unit root

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4367889)