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Optimal Autoregressive Predictions

In Choi () and Sun Ho Hwang ()
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Sun Ho Hwang: Department of Economics, Sogang University, Seoul

No 1607, Working Papers from Research Institute for Market Economy, Sogang University

Abstract: This paper proposes a new, optimal estimator of the AR(1) coefficient that minimixes the prediction mean-squared-error. This estimator can be used to generate an optimal predictor. The new estimator¡®s asymptotic distributions are derived for the cases of stationarity and a near unit root. The optimal estimator is also derived for the AR(p) model (p>=2) and its asymptotic distributions are reported. Simulation results confirm advantages of using the optimal estimator for prediction.

Keywords: Autoregressive model; prediction; near unit root (search for similar items in EconPapers)
Pages: 24 pages
Date: 2016-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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ftp://163.239.156.99/wpaper/CI_RIME_2016_07.pdf First version, 2016 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:sgo:wpaper:1607

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