The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
- 1 March 1979
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 74 (365) , 175
- https://doi.org/10.2307/2286748
Abstract
The asymptotic prediction mean squared error is derived for the regression model with autoregressive errors. The results cover the cases where future values of the exogenous variables are known, where some exogenous variables are predicted from autoregressive processes, and where lagged endogenous variables are included in the model. A result is also obtained for the predictor that ignores autocorrelation of the errors and is based on ordinary least squares (OLS) estimates of the regression parameters.Keywords
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