Corrigenda: Properties of Predictors for Autoregressive Time Series

DOI10.2307/2287633MaRDI QIDQ4742201zbMATH OpenOpenAlexFDO

Authors Wayne A. Fuller, David P. Hasza

Publication date 1981

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2287633

zbMATH Keywords

predictorscorrectionautoregressive time series

Mathematics Subject Classification ID

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

Cited in

(15)

• Trends and random walks in macroeconomic time series
• On same-realization prediction in an infinite-order autoregressive process.
• The use of indicator variables in computing predictions
• The sampling distributions of the predictor for an autoregressive model under misspecifications
• Mean estimation bias in least squares estimation of autoregressive processes
• Prediction of multivariate time series by autoregressive model fitting
• Predictors for the first-order autoregressive process
• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• Evaluating panel data forecasts under independent realization
• Unit-roots test for time-series data with a linear time trend
• Likelihood and other approaches to prediction in dynamic models
• Optimal estimating function for estimation and prediction in semi-parametric models
• VAR forecasting under misspecification
• Small sample properties of forecasts from autoregressive models under structural breaks
• Prediction mean square error for non-stationary multivariate time series using estimated parameters

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