Forecasting, Misspecification And Unit Roots: The Case Of Ar(1) Versus Arma (1,1)
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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.
- Magnus, J.R. & Pesaran, B., 1990. "Forecasting, misspecification and unit roots : The case of Ar(1) versus ARMA(1,1)," Other publications TiSEM b0a7c823-f218-49d9-9264-e, Tilburg University, School of Economics and Management.
References listed on IDEAS
- Peter C.B. Phillips, 1987. "Multiple Regression with Integrated Time Series," Cowles Foundation Discussion Papers 852, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Magnus, J.R. & Pesaran, B., 1989. "The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept," Other publications TiSEM 9cfd5ae9-e1f8-4184-8b32-3, Tilburg University, School of Economics and Management.
- Magnus, J.R. & Pesaran, B., 1990. "The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept," Other publications TiSEM 7e639692-03d0-4464-a966-8, Tilburg University, School of Economics and Management.
- 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.
- 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.
- Hoque, A. & Magnus, J.R. & Pesaran, B., 1988. "The exact multi-period meansquare forecast error for the first-order autoregressive model," Other publications TiSEM 23060037-ac4f-4f28-8fde-4, Tilburg University, School of Economics and Management.
- Magnus, J.R. & Hoque, A. & Pesaran, B., 1990. "The exact multi-period mean-square forecast error for the first-order autoregressive model," Other publications TiSEM 3f9a5173-06c6-4266-94b5-5, Tilburg University, School of Economics and Management.
- 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.
- 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.
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"Time Series Regression with a Unit Root,"
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- Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Tom Doan, "undated". "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
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- 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.
- Jan R. Magnus, 1986.
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Annals of Economics and Statistics, GENES, issue 4, pages 95-109.
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- 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.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
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- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- 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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Keywords
forecasting methods ; econometrics ; economic models ; time series;All these keywords.
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