Asymptotic mean-squared forecast error when an autoregression with linear trend is fitted to data generated by an I(0) or I(1) process

Assume that a time series is generated by an autoregression which has atmost one unit root. A correctly specified model, including linear time trend, is estimated by ordinary least squares, but no allowance is made for any unit root in the generating process. We investigate the impact of estimation error on the mean-squared error of forecasts calculated from the fitted model. Copyright 2004 Blackwell Publishing Ltd.

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Year of publication:	2004
Authors:	Kim, Tae-Hwan ; Leybourne, Stephen J. ; Newbold, Paul
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 25.2004, 4, p. 583-602
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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