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MULTIPERIOD FORECASTING ANALYSIS OF A DYNAMIC MODEL FOR A SMALL SAMPLE
Author(s) -
Hoque Asraul
Publication year - 1996
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1996.tb00669.x
Subject(s) - context (archaeology) , mathematics , forecast error , mean squared error , sample (material) , econometrics , statistics , value (mathematics) , least squares function approximation , physics , geography , thermodynamics , archaeology , estimator
Summary In this paper we derive the formulae for the bias and mean squared forecast error (MSFE) of the least squares forecast several periods ahead in the context of a dynamic model. Since the expressions are in terms of integrals, we have also obtained the numerical value of the bias and MSFE for different values of parameters and different disturbance structures. The results confirm some earlier studies (based on the AR(1) model), for example Lahiri (1975) and Hoque et al . (1988).