Monte-Carlo simulations

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)

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).

English

Pages