A note on mean squared prediction error under the unit root model with deterministic trend

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题名:	A note on mean squared prediction error under the unit root model with deterministic trend
作者:	Yu, Shu-hui;Lin, Chien-chih;Cheng, Hung-wen
贡献者:	淡江大學財務金融學系
关键词:	Deterministic time trend;Fisher information matrix;mean squared prediction error;unit root
日期:	2012-03
上传时间:	2012-07-17 19:44:44 (UTC+8)
出版者:	England: John Wiley & Sons Ltd
摘要:	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.
關聯:	Journal of Time Series Analysis 33(2), pp.276-286
DOI:	10.1111/j.1467-9892.2011.00757.x
显示于类别:	[財務金融學系暨研究所] 期刊論文

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