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

Author Info

Listed author(s):
  • Hoque, Asraul
  • Magnus, Jan R.
  • Pesaran, Bahram

Abstract

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 39 (1988)
Issue (Month): 3 (November)
Pages: 327-346

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Handle: RePEc:eee:econom:v:39:y:1988:i:3:p:327-346
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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Cited by:

  1. Jaime R. 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. 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.
  3. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  4. Yong Bao & Aman Ullah, 2009. "Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications," Working Papers 200907, University of California at Riverside, Department of Economics, revised Jun 2009.
  5. Magnus, J.R. & Pesaran, B., 1990. "Forecasting, Misspecification And Unit Roots: The Case Of Ar(1) Versus Arma (1,1)," Papers 9002, Tilburg - Center for Economic Research.
  6. Helmut Lütkepohl, 2010. "Forecasting Aggregated Time Series Variables: A Survey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-26.
  7. Patton, Andrew J & Timmermann, Allan G, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers.

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