The asymptotic expression for the mean-squared prediction error is discussed for the near-unit-root models. We find the mean-squared prediction error based on the ordinary least square estimator is smaller than the one using pretest estimating under some certain conditions.
| Identifer | oai:union.ndltd.org:CHENGCHI/A2002001508 |
| Creators | 張凱君, Chang, Kai-Jiun |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 英文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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