The effect of parameter uncertainty on forecast variances and confidence intervals for unit root and trend stationary time‐series models
作者:
Michael Sampson,
期刊:
Journal of Applied Econometrics
(WILEY Available online 1991)
卷期:
Volume 6,
issue 1
页码: 67-76
ISSN:0883-7252
年代: 1991
DOI:10.1002/jae.3950060106
出版商: Wiley Subscription Services, Inc., A Wiley Company
数据来源: WILEY
摘要:
AbstractIn this paper I describe the effect of parameter uncertainty on the way conditional forecast variances grow as the forecast horizon increases. Without parameter uncertainty, forecast variances for the unit root model grow linearly with the forecast horizon while with the trend stationary model they are bounded. With parameter uncertainty, however, I find that for both the unit root and the trend stationary models, forecast variances grow with the square of the forecast horizon so that uncertainty grows at a much faster rate than without parameter uncertainty.
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