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The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept

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  • Magnus, Jan R.
  • Pesaran, Bahram

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 42 (1989)
Issue (Month): 2 (October)
Pages: 157-179

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Handle: RePEc:eee:econom:v:42:y:1989:i:2:p:157-179

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Jaime Marquez & Neil R. Ericsson, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
  2. David Hendry & Guillaume Chevillon, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics.
  3. Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October.
  4. Magnus, J.R. & Pesaran, B., 1990. "Forecasting, misspecification and unit roots: The case of Ar(1) versus ARMA(1,1)," Discussion Paper 1990-2, Tilburg University, Center for Economic Research.
  5. Magnus, J.R. & Pesaran, B., 1990. "Evaluation of moments of ratios of quadratic forms in normal variables and related statistics," Discussion Paper 1990-19, Tilburg University, Center for Economic Research.
  6. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.

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