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Prediction intervals for nearly nonstationary AR(1)-processes

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URI: http://hdl.handle.net/10016/3735
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ws932419.pdf (553.55 KB)
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1993-10
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Abstract
We construct prediction intervals for the observations of first-order autoregressive processes when the model approaches a nonstationary situation with a unit root. The intervals that we propose contain an s-step future value with a given asymptotic probability conditional on the observation. A simulation study has been also carried out to illustrate our results.
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Prediction intervals, Nearly nonstationary time series, Coverage probability
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DES - Working Papers. Statistics and Econometrics. WS