Corrigenda: Properties of Predictors for Autoregressive Time Series

DOI10.2307/2287633zbMATH Open0505.62083OpenAlexW2324203870MaRDI QIDQ4742201FDOQ4742201

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)

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

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