Forecasting the stationary AR(1) with an almost unit root, Applied Economics Letters, 13: 789-793 (JEL, ISI Listed, impact factor: 0.295 and 5-year 0.302) (2006, in common with I. Kevork)
Forecasting the stationary AR(1) with an almost unit root, Applied Economics Letters, 13: 789-793 (SCOPUS, EconLit, ISI Listed. Impact factor: 0.504 and 5-year: 0.568). In common with I. Kevork (2006).
Although unit root tests have made a great contribution in time series econometrics, their major disadvantage is the low powers they attain on certain occasions, as for the case of the stationary AR(1), when φ is close to one. In this study, considering the random walk as the true model, we derive the probability the prediction interval to include any future value imageof AR(1). Using certain estimates from Monte-Carlo simulations, we proceed to numerical computations, resulting to the main finding that the values for the specific probability depend upon the location the most recent available observation in the sample possesses in its marginal distribution.
JEL Classification: C5; Time-Series; Econometric-Methods-Single-Equation-Models-Time-Series-Models (C220)