A note on mean squared prediction error under the unit root model with deterministic trend
學年 100
學期 2
出版(發表)日期 2012-03-01
作品名稱 A note on mean squared prediction error under the unit root model with deterministic trend
作品名稱(其他語言)
著者 Yu, Shu-hui; Lin, Chien-chih; Cheng, Hung-wen
單位 淡江大學財務金融學系
出版者 England: John Wiley & Sons Ltd
著錄名稱、卷期、頁數 Journal of Time Series Analysis 33(2), pp.276-286
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.
關鍵字 Deterministic time trend; Fisher information matrix; mean squared prediction error; unit root
語言 en_US
ISSN 1467-9892 0143-9782
期刊性質 國外
收錄於 SCI
產學合作
通訊作者 Yu, Shu-hui
審稿制度
國別 GBR
公開徵稿
出版型式 電子版 紙本
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