Asymptotic Stationarity Properties of Out-of-Sample Forecast Errors of Misspecifed RegARIMA Models
Asymptotic Stationarity Properties of Out-of-Sample Forecast Errors of Misspecifed RegARIMA Models
Introduction
Suppose we have observations of a time series of the form where is a sequence of nonstochastic column vectors and is a mean zero process whose autocovariance structure is stationary or asymptotically stationary in a sense to be defined. With monthly or quarterly economic data for example, the regressor sequence might describe holiday effects.
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Page Last Revised - October 8, 2021