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A Modification of the Edgeworth Approximation in the AR (1) Model

✍ Scribed by Shu-Ing Liu; Chien-Chou Su; Shu-Ing Liu Chien-Chou

Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
438 KB
Volume
34
Category
Article
ISSN
0323-3847

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πŸ“œ SIMILAR VOLUMES

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## Abstract This article introduces a novel framework for analysing long‐horizon forecasting of the near non‐stationary AR(1) model. Using the local to unity specification of the autoregressive parameter, I derive the asymptotic distributions of long‐horizon forecast errors both for the unrestricte