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Prediction intervals for nearly nonstationary AR(1)-processes

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  • Ferretti, Nélida
  • Romo, Juan

Abstract

We construct prediction intervals for the observations of first-order autoregressive processes when the model approaches a nonstationary situation with a unit root. The intervals that we propose contain an s-step future value with a given asymptotic probability conditional on the observation. A simulation study has been also carried out to illustrate our results.

Suggested Citation

  • Ferretti, Nélida & Romo, Juan, 1993. "Prediction intervals for nearly nonstationary AR(1)-processes," DES - Working Papers. Statistics and Econometrics. WS 3735, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:3735
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    Keywords

    Prediction intervals;

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