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The Out-of-sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model

Medel, Carlos; Pincheira, Pablo - Volkswirtschaftliche Fakultät, … - 2015

We analyse the multihorizon forecasting performance of several strategies to estimate the stationary AR(1) model in a near-unity context. We focus on the Andrews' (1993) exact median-unbiased estimator (BC), the OLS estimator, and the driftless random walk (RW). In addition, we explore the...

Persistent link: https://www.econbiz.de/10011195671

Forecasting base metal prices with an international stock index

Bentancor, Andrea; Hardy, Nicolás; Henrriquez, Cristobal; … - In: Finance a úvěr 73 (2023) 3, pp. 277-302

Persistent link: https://www.econbiz.de/10014416104

Forecasting base metal prices with exchange rate expectations

Pincheira, Pablo; Hardy, Nicolás - In: Journal of forecasting 42 (2023) 8, pp. 2341-2362

Persistent link: https://www.econbiz.de/10014432904

The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model

Medel, Carlos A.; Pincheira, Pablo - In: Applied economics letters 23 (2016) 1/3, pp. 126-131

Persistent link: https://www.econbiz.de/10011414456

Correlation-based tests of predictability

Pincheira, Pablo; Hardy, Nicolás - In: Journal of forecasting 43 (2024) 6, pp. 1835-1858

Persistent link: https://www.econbiz.de/10015110329

The mean squared prediction error paradox

Pincheira, Pablo; Hardy, Nicolás - In: Journal of forecasting 43 (2024) 6, pp. 2298-2321

Persistent link: https://www.econbiz.de/10015110448