The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors

Richard T. Baillie

49 citations0/0 files storedJournal of the American Statistical Association

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Forecasting Techniques and Applications Advanced Statistical Methods and Models Statistical and numerical algorithms

Abstract

The asymptotic prediction mean squared error is derived for the regression model with autoregressive errors. The results cover the cases where future values of the exogenous variables are known, where some exogenous variables are predicted from autoregressive processes, and where lagged endogenous variables are included in the model. A result is also obtained for the predictor that ignores autocorrelation of the errors and is based on ordinary least squares (OLS) estimates of the regression parameters.

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References

1977Time Series Analysis: Forecasting and Control 1971Time Series Analysis, Forecasting and Control.1976Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients 1974The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model

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1980Predictions from ARMAX models 1981Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors

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