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Forecasting, misspecification and unit roots : the case of AR(1) versus ARMA(1,1)

Magnus, Jan R.; Pesaran, Bahram - 1990

Persistent link: https://www.econbiz.de/10000782912

The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept

Magnus, Jan R. - In: Journal of econometrics 42 (1989) 2, pp. 157-179

Persistent link: https://www.econbiz.de/10001071077

VAR models of inflation

Henry, S. G. B. - In: Quarterly bulletin / Bank of England 33 (1993) 2, pp. 231-239

Persistent link: https://www.econbiz.de/10001144505

The Use of Spreads in Forecasting Medium Term U.K Interest Rates

Pesaran, Bahram; Wright, G. - 1997

This paper aims to extend recent work on the term structure of interest rates by establishing, in the context of the medium term UK interbank market, forecasting models which make use of market spreads as error correction terms. These models are then used within a trading scenario to test the...

Persistent link: https://www.econbiz.de/10014098838

The exact multi-period mean-square forecast error for the first-order autoregressive model

Hoque, Asraul; Magnus, Jan R.; Pesaran, Bahram - In: Journal of econometrics 39 (1988) 3, pp. 327-346

Persistent link: https://www.econbiz.de/10003580961