Magnus, Jan R.; Pesaran, Bahram - In: Econometric Theory 7 (1991) 02, pp. 222-235
The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model <italic>y</italic><italic>null</italic> = α + β<italic>y</italic><sub>null</sub> + <italic>u</italic><italic>null</italic>. Necessary and sufficient conditions are given for the existence of the bias and an expression is presented which we use to obtain...
