THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED AR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME LARGE

DOI10.1017/S026646669915206XzbMATH Open0963.62085OpenAlexW2004011802MaRDI QIDQ4512734FDOQ4512734

Gordon C. R. Kemp

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

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zbMATH Keywords

Monte Carlo studyAR(1) modelforecast errors

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20)

Cited In (4)

• Nearly weighted risk minimal unbiased estimation
• Asymptotic mean‐squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process
• Median unbiased forecasts for highly persistent autoregressive processes
• Averaging estimators for autoregressions with a near unit root

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