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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/77746

    Title: A note on mean squared prediction error under the unit root model with deterministic trend
    Authors: Yu, Shu-hui;Lin, Chien-chih;Cheng, Hung-wen
    Contributors: 淡江大學財務金融學系
    Keywords: Deterministic time trend;Fisher information matrix;mean squared prediction error;unit root
    Date: 2012-03
    Issue Date: 2012-07-17 19:44:44 (UTC+8)
    Publisher: England: John Wiley & Sons Ltd
    Abstract: Assume that observations are generated from the first-order autoregressive (AR) model with linear time trend and the unknown model coefficients are estimated by least squares. This article develops an asymptotic expression for the mean squared prediction error (MSPE) of the least squares predictor in the presence of a unit root. As a by-product, we also obtain a connection between the MSPE and the growth rate of the Fisher information. The key technical tool used to derive these results is the negative moment bound for the minimum eigenvalue of the normalized Fisher information matrix.
    Relation: Journal of Time Series Analysis 33(2), pp.276-286
    DOI: 10.1111/j.1467-9892.2011.00757.x
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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