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

DOI10.1111/1467-9892.00063MaRDI QIDQ4367889zbMATHOpenAlexFDO

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

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)

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

Cited in

(4)

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

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)