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The Bias of Forecasts from a First-Order Autoregression

Published online by Cambridge University Press:  11 February 2009

Jan R. Magnus  and
Bahram Pesaran
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Abstract

The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model yt = α + βyt–1 + ut. Necessary and sufficient conditions are given for the existence of the bias and an expression is presented which we use to obtain exact numerical results for finite samples. The unit root and near unit root behavior is studied in detail and some popular preconceptions about the behavior of the bias are shown to be false.

Type
Research Article
Information
Econometric Theory , Volume 7 , Issue 2 , June 1991 , pp. 222 - 235
Copyright
Copyright © Cambridge University Press 1991

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References

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