The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Economics and Econometrics
Reference11 articles.
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2. Properties of predictors for autoregressive time series;Fuller;Journal of the American Statistical Association,1981
3. The exact multi-period mean-square forecast error for the first-order autoregressive model;Hoque;Journal of Econometrics,1988
4. Finite sample properties of several predictors from an autoregressive model;Maekawa;Econometric Theory,1987
5. The exact moments of a ratio of quadratic forms in normal variables;Magnus;Annales d'Economie et de Statistique,1986
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3. Chapter 11 Forecasting with Trending Data;Handbook of Economic Forecasting;2006
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