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Finite Sample Properties of Several Predictors From an Autoregressive Model

Published online by Cambridge University Press:  11 February 2009

Koichi Maekawa
Koichi Maekawa
Affiliation:
Department of Economics, Hiroshima University
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Abstract

We compare the distributional properties of the four predictors commonly used in practice. They are based on the maximum likelihood, two types of the least squared, and the Yule-Walker estimators. The asymptotic expansions of the distribution, bias, and mean-squared error for the four predictors are derived up to O(T−1), where T is the sample size. Examining the formulas of the asymptotic expansions, we find that except for the Yule-Walker type predictor, the other three predictors have the same distributional properties up to O(T−1).

Type
Research Article
Information
Econometric Theory , Volume 3 , Issue 3 , June 1987 , pp. 359 - 370
Copyright
Copyright © Cambridge University Press 1987

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