IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/9cfd5ae9-e1f8-4184-8b32-356de974c37d.html
   My bibliography  Save this paper

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

Author

Listed:
  • Magnus, J.R.

    (Tilburg University, School of Economics and Management)

  • Pesaran, B.

Abstract

No abstract is available for this item.

Suggested Citation

  • Magnus, J.R. & Pesaran, B., 1989. "The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept," Other publications TiSEM 9cfd5ae9-e1f8-4184-8b32-3, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:9cfd5ae9-e1f8-4184-8b32-356de974c37d
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/650018/26979_6664.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Neil R. Ericsson & Jaime R. Marquez, 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. Chevillon, Guillaume & Hendry, David F., 2005. "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 21(2), pages 201-218.
    3. Timmermann, Allan & Patton, Andrew, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers.
    4. Härdle, W.K. & Tsybakov, A.B., 1994. "How sensitive are average derivatives?," Other publications TiSEM 07ea66d2-29d5-4ec9-a59d-8, Tilburg University, School of Economics and Management.
    5. 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.
    6. 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.
    7. John L. Turner, 2004. "Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(7), pages 513-539.
    8. Bovenberg, A.L. & Goulder, L.H., 1993. "Promoting investment under international capital mobility : An intertemporal general equilibrium analysis," Other publications TiSEM 3d211075-2c03-478d-b657-7, Tilburg University, School of Economics and Management.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:9cfd5ae9-e1f8-4184-8b32-356de974c37d. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.