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

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

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)

Cited In (1)

• Estimating cointegrated systems using subspace algorithms

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