期刊論文
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 | 是 |
國別 | GBR |
公開徵稿 | |
出版型式 | 電子版 紙本 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/77746 ) |