THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED AR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME LARGE
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Publication:4512734
DOI10.1017/S026646669915206XzbMath0963.62085MaRDI QIDQ4512734
Publication date: 5 November 2000
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s026646669915206x
62M20: Inference from stochastic processes and prediction
62E20: Asymptotic distribution theory in statistics
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