Asymptotic Second Moment Properties of Out-of-sample Forecast Errors of Misspecified Regarima Models and the Optimality of Gls
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چکیده
Under minimal assumptions, it is established that the sample second moments of the errors of out-of-sample (real time) forecasts of possibly incorrect regARIMA models have asymptotic limits with useful frequency domain formulas. Both OLS and GLS estimates of the mean function are considered. With misspecified regressors, under additional assumptions that do not appear to exclude any regressors of interest, the asymptotic formulas are used to show that GLS has minimal asymptotic mean square error for one-step-ahead forecasting relative to OLS and other alternatives.
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تاریخ انتشار 2005