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

Author Info

  • Hoque, Asraul
  • Magnus, Jan R.
  • Pesaran, Bahram

Abstract

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File URL: http://www.sciencedirect.com/science/article/pii/0304-4076(88)90062-0
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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. 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.
  2. Allan Timmermann & Andrew J. Patton, 2004. "Properties of Optimal Forecasts," Econometric Society 2004 North American Winter Meetings 234, Econometric Society.
  3. 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.
  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. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  6. 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.).
  7. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.

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