The exact multi-period mean-square forecast error for the first-order autoregressive model
- 30 November 1988
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 39 (3) , 327-346
- https://doi.org/10.1016/0304-4076(88)90062-0
Abstract
No abstract availableThis publication has 31 references indexed in Scilit:
- Unbiasedness of Predictions from Etimated Vector AutoregressionsEconometric Theory, 1985
- Unbiasedness of Predictions from Estimated Autoregressions when the True Order is UnknownEconometrica, 1984
- Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1Journal of Econometrics, 1980
- Finite sample properties of estimators for autoregressive moving average modelsJournal of Econometrics, 1980
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979
- The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive ErrorsJournal of the American Statistical Association, 1979
- Multiperiod Predictions from Stochastic Difference Equations by Bayesian MethodsEconometrica, 1973
- Monte Carlo Results for Estimation in a Stable Markov Time SeriesJournal of the Royal Statistical Society. Series A (General), 1966
- The prediction error of stationary Gaussian time series of unknown covarianceIEEE Transactions on Information Theory, 1965
- On Asymptotic Distributions of Estimates of Parameters of Stochastic Difference EquationsThe Annals of Mathematical Statistics, 1959