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Predictors for the first-order autoregressive process

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  • Fuller, Wayne A.
  • Hasza, David P.

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  • Fuller, Wayne A. & Hasza, David P., 1980. "Predictors for the first-order autoregressive process," Journal of Econometrics, Elsevier, vol. 13(2), pages 139-157, June.
    • Handle: RePEc:eee:econom:v:13:y:1980:i:2:p:139-157
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    Cited by:

    1. Michele Ca’ Zorzi & Jakub Muck & Michal Rubaszek, 2016. "Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses," Open Economies Review, Springer, vol. 27(3), pages 585-609, July.
    2. Banerjee, A.N., 1997. "The sensitivity of estimates, inferences and forecasts of linear models," Other publications TiSEM 3238733e-f996-4fd9-95ec-0, Tilburg University, School of Economics and Management.
    3. Koop, Gary & Osiewalski, Jacek & Steel, Mark F. J., 1995. "Bayesian long-run prediction in time series models," Journal of Econometrics, Elsevier, vol. 69(1), pages 61-80, September.
    4. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
    5. Grillenzoni, Carlo, 1998. "Forecasting unstable and nonstationary time series," International Journal of Forecasting, Elsevier, vol. 14(4), pages 469-482, December.
    6. Michele Ca’ Zorzi & Jakub Muck & Michal Rubaszek, 2016. "Real Exchange Rate Forecasting and PPP: This Time the Random Walk Loses," Open Economies Review, Springer, vol. 27(3), pages 585-609, July.
    7. Magnus, J.R. & Pesaran, B., 1990. "Forecasting, misspecification and unit roots : The case of Ar(1) versus ARMA(1,1)," Discussion Paper 1990-2, Tilburg University, Center for Economic Research.

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