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Unbiasedness of Predictions from Estimated Autoregressions when the True Order is Unknown

https://doi.org/10.2307/1911469
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FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
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Copyright Page
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Dedication
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Preface
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Introduction
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Finite Sample Moments
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Regression Model
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Models with Nonscalar Covariance Matrix of Errors
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Dynamic Time Series Model
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Statistical Methods
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THE GEOMETRY OF SPECIFICATION ERROR
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ON THE EFFECTS OF MISSPECIFICATION ERRORS IN MODELS WITH GENERATED REGRESSORS†
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