The exact multi-period mean-square forecast error for the first-order autoregressive model
نویسندگان
چکیده
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1School of Business Administration, Southwestern University of Finance and Economics No. 555, Liutai Ave, Wenjiang Zone, Chengdu 611130, China 2Yangtze Normal University, No. 98, Julong Ave, Fuling Zone, Chongqing, 408100, China 3School of Management and Economics University of Electronic Science and Technology of China No. 2006, Xiyuan Ave, West Hi-Tech Zone, Chengdu 611731, China e-mail: koug...
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SUMMARY This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of approximation to the distribution by a first few terms of this expansion is then investigated. It is fo...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1988
ISSN: 0304-4076
DOI: 10.1016/0304-4076(88)90062-0