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A study on misspecified nonstationary autoregressive time series with a unit root

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  • Dong Wan Shin
  • Yoon Dong Lee

Abstract

The effects of order misspecification in nonstationary autoregressive time series estimations are investigated. The true process is assumed to be stationary if differenced. The ordinary least squares estimator is shown to be weakly convergent and its probability limit is derived. Expressions for the dominating terms of the prediction error and of the prediction mean squared error are derived. Using the expressions and Monte Carlo simulations, we compare prediction errors in the misspecified models based on the observation series and those based on the differenced series.

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  • Dong Wan Shin & Yoon Dong Lee, 1997. "A study on misspecified nonstationary autoregressive time series with a unit root," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(5), pages 475-484, September.
    • Handle: RePEc:bla:jtsera:v:18:y:1997:i:5:p:475-484
    DOI: 10.1111/1467-9892.00063
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    Cited by:

    1. Bauer, Dietmar & Wagner, Martin, 2002. "Estimating cointegrated systems using subspace algorithms," Journal of Econometrics, Elsevier, vol. 111(1), pages 47-84, November.

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