Prediction intervals for nearly nonstationary AR(1)-processes

Nélida Ferretti and Juan Romo

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We construct prediction intervals for the observations of first-order autoregressive processes when the model approaches a nonstationary situation with a unit root. The intervals that we propose contain an s-step future value with a given asymptotic probability conditional on the observation. A simulation study has been also carried out to illustrate our results.

Keywords: Prediction; intervals; Nearly; nonstationary; time; series; Coverage; probability (search for similar items in EconPapers)
Date: 1993-10
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3735

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