Search

Your search keyword '"Stephen J. Leybourne"' showing total 1 results
Start Over Author "Stephen J. Leybourne" Database Complementary Index
1 results on '"Stephen J. Leybourne"'

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

Author

Tae-Hwan Kim, Stephen J. Leybourne, and Paul Newbold

Subjects
ESTIMATION theory, STOCHASTIC processes, BOX-Jenkins forecasting, ECONOMIC forecasting, ERRORS, LEAST squares
Abstract

Assume that a time series is generated by an autoregression which has atmost 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. [ABSTRACT FROM AUTHOR]

Published
2004
Full Text
View/download PDF

Catalog

Books, media, physical & digital resources
See catalog results