Asymptotic Mean-Squared Forecast Error When an Autoregression with Linear Trend is Fitted to Data Generated by an I(0) or I(1) Process
Year of publication: |
2004
|
---|---|
Authors: | Kim, Tae-Hwan ; Leybourne, Stephen J. ; Newbold, Paul |
Publisher: |
[S.l.] : SSRN |
Subject: | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model |
-
Cointegration, forecasting, and some linear rational expectations models
Warne, Anders, (1989)
-
Efficient forecasts or measurement errors? : some evidence for revisions to the United Kingdom GDP
Patterson, K. D., (1990)
-
McCurdy, Thomas H., (1991)
- More ...
-
Examination of some more powerful modifications of the Dickey-Fuller test
Leybourne, Stephen James, (2003)
-
Spurious rejections by Perron tests in the presence of a break
Kim, Tae-hwan, (2000)
-
Tests for a change in persistence against the null of difference-stationarity
Leybourne, Stephen James, (2003)
- More ...