EconPapers    
Economics at your fingertips  
 

(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?

Matei Demetrescu () and Uwe Hassler

Econometric Theory, 2016, vol. 32, issue 6, 1317-1348

Abstract: To construct forecasts for time series exhibiting breaks, the paper examines long autoregressions, where the number of lags is growing with T, and possible breaks are simply ignored. The paper shows that the OLS estimators are still elementwise consistent for the true autoregressive coefficients when neglecting a break in mean, but the sum of the estimators converges to unity. Thanks to this unit-root like behavior of the fitted model, the resulting conditional forecasts are consistent for the true values. As long as the dynamic structure is invariant, the robustness property of the forecasts holds a) under data-dependent lag length selection, b) for a piecewise smoothly varying mean function, and c) under general autoregressive dynamics of possibly infinite order including stationary long memory. Under breaks in the dynamic structure, however, estimators are asymptotically biased, and the forecasts from long autoregressions are biased themselves even in the limit.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:32:y:2016:i:06:p:1317-1348_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2020-10-17
Handle: RePEc:cup:etheor:v:32:y:2016:i:06:p:1317-1348_00