Forecasting using the trend model with autoregressive errors

International Journal of Forecasting

Volumn 21, Issue 2, 2005, Pages 291-302

  Falk, Barry ^a   Roy, Anindya ^b  

^a IOWA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF MARYLAND   (United States)

Author keywords

Autoregressive errors; Bias correction; Forecasting; Trend model; Unit root

Indexed keywords

EID: 14844307020     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2004.08.001     Document Type: Article

References (11)

1. D. Andrews Exactly median-unbiased estimation of first order autoregressive/unit root models Econometrica 61 1993 139-166
2. D. Andrews & H.-Y. Chen Approximately median-unbiased estimation of autoregressive models Journal of Business and Economic Statistics 12 1994 187-204
3. E. Canjels & M.W. Watson Estimating deterministic trends in the presence of serially correlated errors Review of Economics and Statistics 79 1997 184-200
4. W.A. Fuller Introduction to statistical time series 2nd ed. 1996 Wiley New York
5. U. Grenander & M. Rosenblatt Statistical analysis of stationary time series 1957 Wiley New York
6. J.D. Hamilton Time series analysis 1994 Princeton University Press Princeton, NJ
7. J.H. Kim Forecasting autoregressive time series with bias-corrected parameter estimators International Journal of Forecasting 19 2003 493-502
8. S. Ng & T.J. Vogelsang Forecasting autoregressive time series in the presence of deterministic components Econometrics Journal 5 2002 196-224
9. A. Roy & W.A. Fuller Estimation for autoregressive time series with a root near one Journal of Business and Economic Statistics 19 2001 482-493
10. J.J. Spitzer Small-sample properties of nonlinear least squares and maximum likelihood estimators in the context of autocorrelated errors Journal of the American Statistical Association 74 1979 41-47
11. J.H. Stock & M.W. Watson A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series. In: R.F. Engle H. White (Eds.) Cointegration, causality, and forecasting a festschrift in honour of Clive W.J. Granger 1999 Oxford University Press Oxford