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

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)583-602
Number of pages20
JournalJournal of Time Series Analysis
Volume25
Issue number4
DOIs
Publication statusPublished - 2004 Jul 1

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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