ACCUMULATED PREDICTION ERRORS, INFORMATION CRITERIA AND OPTIMAL FORECASTING FOR AUTOREGRESSIVE TIME SERIES

Ching-Kang Ing ()

Econometrics from University Library of Munich, Germany

Abstract: The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APE$_{\delta_{n}}$,is investigated in infinite-order autoregressive (AR($\infty$)) models. Instead of accumulating squares of sequential prediction errors from the beginning, APE$_{\delta_{n}}$ is obtained by summing these squared errors from stage $n\delta_{n}$, where $n$ is the sample size and $0

Keywords: Accumulated prediction errors; Asymptotic equivalence; Asymptotic efficiency; Information criterion; Order selection; Optimal forecasting (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2005-03-23
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Type of Document - pdf; pages: 50
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0503020

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