A remark on least-squares and naive extrapolations in non-linear AR (1) processes

✍ Scribed by Jiří Anděl

• Publisher: John Wiley and Sons
• Year: 1996
• Tongue: English
• Weight: 151 KB
• Volume: 15
• Category: Article
• ISSN: 0277-6693
• DOI: 10.1002/(sici)1099-131x(199612)15:7<549::aid-for630>3.0.co;2-f

✦ Synopsis

The rn-step least squares extrapolation is generally different from the mstep naite extrapolation in non-linear AR(1) models when m 3 2. We show that there exists a class of non-linear AR(1) models in which a difference between these two extrapolations is arbitrary large.