|Statement||Jan R. Magnus and Bahram Pesaran.|
|Series||Econometrics discussion papers -- 87/153|
|Contributions||Pesaran, Bahram., Suntory-Toyota International Centre for Economics and Related Disciplines.|
The bias of forecasts from a first-order autoregression Magnus, J.R.; Pesaran, B. Published in: Econometric Theory Publication date: Link to publication Citation for published version (APA): Magnus, J. R., & Pesaran, B. (). The bias of forecasts from a first-order autoregression. Econometric Theory, 7(2), General rights. The bias of forecasts from a first-order autoregression () Pagina-navigatie: Main; Save publication. Save as MODS; Export to Mendeley; Save as EndNote; Export to RefWorks; Title: The bias of forecasts from a first-order autoregression: Series: Reprint series / CentER for Economic Research, Author: Magnus, J.R., Pesaran, B. Publisher Author: J.R. Magnus, B. Pesaran. The bias of forecasts from a first-order autoregression () Pagina-navigatie: Main; Save publication. Save as MODS; Export to Mendeley; Save as EndNote; Export to RefWorks; Title: The bias of forecasts from a first-order autoregression: Published in: Econometric Theory, 7(2), - CAMBRIDGE UNIV PRESS. ISSN Author: Magnus, J Cited by: The Bias of Forecasts from a First-Order Autoregression. By Jan R. Magnus and Bahram Pesaran. Abstract. The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model y null = α + β ynull + u null. Necessary and sufficient conditions are given for the existence of the.
(). Estimation Bias in the First-Order Autoregressive Model and Its Impact on Predictions and Prediction Intervals. Communications in Statistics - Simulation and . Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): (external link). In many economic applications, it is convenient to model and forecast a variable of interest in logs rather than in levels. However, the reverse transformation from log forecasts to levels introduces a bias. "The sampling distribution of forecasts from a first-order autoregression," Journal of Econometrics, Elsevier, vol. 9(3), pages , February. Albert, James H & Chib, Siddhartha, " Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics.
Autoregressive models. In a multiple regression model, we forecast the variable of interest using a linear combination of predictors. In an autoregression model, we forecast the variable of interest using a linear combination of past values of the variable. The term autoregression indicates that it is a regression of the variable against. Analytical formulas for asymptotic bias of the OLS estimator of the slope coefficient matrix for first-order multivariate VAR have been derived by Reference  and in equivalent form by Reference. THE SAMPLING DISTRIBUTION OF FORECASTS FROM A FIRST-ORDER AUTOREGRESSION” Peter C.B. PHILLIPS Yale Uniwrsity, New HuGen, CTO, USA University of Birmingham, Birmingham B15 2TJ UK Received December Previous work on characterising the distribution of forecast errors in time series models by. Abstract. The quasi-maximum likelihood estimator (QMLE) of parameters in the first-order moving average model can be biased in finite samples. We develop the second-order analytical bias of the QMLE and investigate whether this estimation bias can lead to biased feasible optimal forecasts conditional on the available sample observations.