Optimal Autoregressive Predictions
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References listed on IDEAS
- Phillips, Peter C B, 1988. "Regression Theory for Near-Integrated Time Series," Econometrica, Econometric Society, vol. 56(5), pages 1021-1043, September.
- Andrew Atkeson & Lee E. Ohanian, 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 2-11.
- Choi, In, 1993. "Asymptotic Normality of the Least-Squares Estimates for Higher Order Autoregressive Integrated Processes with Some Applications," Econometric Theory, Cambridge University Press, vol. 9(02), pages 263-282, April.
More about this item
KeywordsAutoregressive model; prediction; near unit root;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-07-30 (All new papers)
- NEP-ECM-2016-07-30 (Econometrics)
- NEP-ETS-2016-07-30 (Econometric Time Series)
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