Median unbiased forecasts for highly persistent autoregressive processes
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- Nikolay Gospodinov, 1999. "Median Unbiased Forecasts for Highly Persistent Autoregressive Processes," Computing in Economics and Finance 1999 533, Society for Computational Economics.
References listed on IDEAS
- Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Fallahi, Firouz & Voia, Marcel-Cristian, 2015. "Convergence and persistence in per capita energy use among OECD countries: Revisited using confidence intervals," Energy Economics, Elsevier, vol. 52(PA), pages 246-253.
- Mihaela Simionescu, 2014. "Forecast Intervals for Inflation Rate and Unemployment Rate in Romania," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(5), pages 39-51, October.
- Fallahi, Firouz & Karimi, Mohammad & Voia, Marcel-Cristian, 2016. "Persistence in world energy consumption: Evidence from subsampling confidence intervals," Energy Economics, Elsevier, vol. 57(C), pages 175-183.
- Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
- repec:eee:eneeco:v:65:y:2017:i:c:p:228-239 is not listed on IDEAS
- Simionescu, Mihaela, 2014. "New Strategies to Improve the Accuracy of Predictions based on Monte Carlo and Bootstrap Simulations: An Application to Bulgarian and Romanian Inflation || Nuevas estrategias para mejorar la exactitud," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 18(1), pages 112-129, December.
- Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017.
"A Justification of Conditional Confidence Intervals,"
- Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017. "A Justification of Conditional Confidence Intervals," Research Memorandum 023, Maastricht University, Graduate School of Business and Economics (GSBE).
- Mihaela Simionescu, 2015. "A New Technique based on Simulations for Improving the Inflation Rate Forecasts in Romania," Working Papers of Institute for Economic Forecasting 150206, Institute for Economic Forecasting.
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"The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model,"
Applied Economics Letters,
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- Carlos Medel & Pablo Pincheira, 2015. "The Out-of-Sample Performance of An Exact Median-Unbiased Estimator for the Near-Unity Ar(1)Model," Working Papers Central Bank of Chile 768, Central Bank of Chile.
- Medel, Carlos & Pincheira, Pablo, 2015. "The Out-of-sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model," MPRA Paper 62552, University Library of Munich, Germany.
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- Hyeongwoo Kim & Nazif Durmaz, 2010. "Bias Correction and Out-of-Sample Forecast Accuracy," Auburn Economics Working Paper Series auwp2010-02, Department of Economics, Auburn University.
- Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
- Simionescu, Mihaela, 2017. "Prediction intervals for inflation and unemployment rate in Romania. A Bayesian approach," GLO Discussion Paper Series 82, Global Labor Organization (GLO).
- Gonçalves Mazzeu, Joao Henrique & Ruiz, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
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