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Forecasting, misspecification and unit roots : The case of Ar(1) versus ARMA(1,1)

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  • Magnus, J.R.

    (Tilburg University, Center For Economic Research)

  • Pesaran, B.

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  • 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.
    • Handle: RePEc:tiu:tiucen:b0a7c823-f218-49d9-9264-e9e76609a465
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    References listed on IDEAS

    as
    1. Peter C.B. Phillips, 1987. "Multiple Regression with Integrated Time Series," Cowles Foundation Discussion Papers 852, Cowles Foundation for Research in Economics, Yale University.
    2. Magnus, Jan R. & Pesaran, Bahram, 1989. "The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept," Journal of Econometrics, Elsevier, vol. 42(2), pages 157-179, October.
    3. Magnus, J.R. & Pesaran, B., 1988. "The bias of forecasts from a first-order autoregression (Revised version)," Discussion Paper 1988-2, Tilburg University, Center for Economic Research.
    4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    5. Dufour, Jean-Marie, 1984. "Unbiasedness of Predictions from Estimated Autoregressions When the True Order Is Unknown," Econometrica, Econometric Society, vol. 52(1), pages 209-215, January.
    6. Jan R. Magnus, 1986. "The Exact Moments of a Ratio of Quadratic Forms in Normal Variables," Annals of Economics and Statistics, GENES, issue 4, pages 95-109.
    7. 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.
    8. Hoque, Asraul & Magnus, Jan R. & Pesaran, Bahram, 1988. "The exact multi-period mean-square forecast error for the first-order autoregressive model," Journal of Econometrics, Elsevier, vol. 39(3), pages 327-346, November.
    9. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    10. Cryer, Jonathan D. & Nankervis, John C. & Savin, N.E., 1989. "Mirror-Image and Invariant Distributions in ARMA Models," Econometric Theory, Cambridge University Press, vol. 5(1), pages 36-52, April.
    11. repec:adr:anecst:y:1986:i:4:p:05 is not listed on IDEAS
    12. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    13. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-779, May.
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