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Abstract Details
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Activity Number:
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406
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Type:
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Contributed
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Date/Time:
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Tuesday, July 31, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305266 |
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Title:
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A Note on Mean Squared Prediction Error Under the Unit Root Model with Deterministic Trend
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Author(s):
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Shu-Hui Yu*+
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Companies:
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Address:
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Institute of Statistics, Kaohsiung, _, 81148, Taiwan, Republic of China
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Keywords:
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Deterministic time trend ;
Fisher information matrix ;
mean squared prediction error ;
unit root
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Abstract:
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Assume that observations are generated from the first-order autoregressive (AR) model with linear time trend and the unknown model coefficients are estimated by least squares. This article develops an asymptotic expression for the mean squared prediction error (MSPE) of the least squares predictor in the presence of a unit root. As a by-product, we also obtain a connection between the MSPE and the growth rate of the Fisher information. The key technical tool used to derive these results is the negative moment bound for the minimum eigenvalue of the normalized Fisher information matrix.
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Authors who are presenting talks have a * after their name.
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