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The sampling distributions of the predictor for an autoregressive model under misspecifications

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  • Tanaka, Katsuto
  • Maekawa, Koichi

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  • Tanaka, Katsuto & Maekawa, Koichi, 1984. "The sampling distributions of the predictor for an autoregressive model under misspecifications," Journal of Econometrics, Elsevier, vol. 25(3), pages 327-351, July.
    • Handle: RePEc:eee:econom:v:25:y:1984:i:3:p:327-351
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    Cited by:

    1. Ismael Sanchez & Daniel Pena, 2001. "Properties of Predictors in Overdifferenced Nearly Nonstationary Autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(1), pages 45-66, January.
    2. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
    3. Naoya Katayama, 2008. "Asymptotic prediction of mean squared error for long-memory processes with estimated parameters," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 690-720.
    4. Tanja Krone & Casper J. Albers & Marieke E. Timmerman, 2017. "A comparative simulation study of AR(1) estimators in short time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(1), pages 1-21, January.
    5. Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.

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