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
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
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ftp://184.108.40.206/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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