The Bias of Forecasts from a First-Order Autoregression
- 1 June 1991
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 7 (2) , 222-235
- https://doi.org/10.1017/s0266466600004424
Abstract
The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model yt = α + βyt–1 + ut. Necessary and sufficient conditions are given for the existence of the bias and an expression is presented which we use to obtain exact numerical results for finite samples. The unit root and near unit root behavior is studied in detail and some popular preconceptions about the behavior of the bias are shown to be false.Keywords
This publication has 5 references indexed in Scilit:
- Forecast Error Symmetry in ARIMA ModelsJournal of the American Statistical Association, 1990
- The exact multi-period mean-square forecast error for the first-order autoregressive model with an interceptJournal of Econometrics, 1989
- The exact multi-period mean-square forecast error for the first-order autoregressive modelJournal of Econometrics, 1988
- Predictors for the first-order autoregressive processJournal of Econometrics, 1980
- Multiperiod Predictions in Dynamic ModelsInternational Economic Review, 1975