Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process

Tae Hwan Kim; Stephen J. Leybourne; Paul Newbold

doi:10.1111/j.1467-9892.2004.01869.x

Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process

Tae Hwan Kim, Stephen J. Leybourne, Paul Newbold

Department of Economics

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

Assume that a time series is generated by an autoregression which has almost one unit root. A correctly specified model, including linear time trend, is estimated by ordinary least squares, but no allowance is made for any unit root in the generating process. We investigate the impact of estimation error on the mean-squared error of forecasts calculated from the fitted model.

Original language	English
Pages (from-to)	583-602
Number of pages	20
Journal	Journal of Time Series Analysis
Volume	25
Issue number	4
DOIs	https://doi.org/10.1111/j.1467-9892.2004.01869.x
Publication status	Published - 2004 Jul

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1111/j.1467-9892.2004.01869.x

Cite this

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Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process

Abstract

All Science Journal Classification (ASJC) codes

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