Finite Sample Properties of Several Predictors From an Autoregressive Model

Koichi Maekawa

Econometric Theory, 1987, vol. 3, issue 3, 359-370

Abstract: We compare the distributional properties of the four predictors commonly used in practice. They are based on the maximum likelihood, two types of the least squared, and the Yule-Walker estimators. The asymptotic expansions of the distribution, bias, and mean-squared error for the four predictors are derived up to O(T−1), where T is the sample size. Examining the formulas of the asymptotic expansions, we find that except for the Yule-Walker type predictor, the other three predictors have the same distributional properties up to O(T−1).

Date: 1987
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