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VOL. 52 | 2006 On prediction errors in regression models with nonstationary regressors


In this article asymptotic expressions for the final prediction error (FPE) and the accumulated prediction error (APE) of the least squares predictor are obtained in regression models with nonstationary regressors. It is shown that the term of order $1/n$ in FPE and the term of order $\log n$ in APE share the same constant, where $n$ is the sample size. Since the model includes the random walk model as a special case, these asymptotic expressions extend some of the results in Wei (1987) and Ing (2001). In addition, we also show that while the FPE of the least squares predictor is not affected by the contemporary correlation between the innovations in input and output variables, the mean squared error of the least squares estimate does vary with this correlation.


Published: 1 January 2006
First available in Project Euclid: 28 November 2007

zbMATH: 1268.62126
MathSciNet: MR2427839

Digital Object Identifier: 10.1214/074921706000000950

Primary: 60M20
Secondary: 62F12 , 62M10

Keywords: Accumulated prediction errors , final prediction error , least squares estimators , random walk models

Rights: Copyright © 2006, Institute of Mathematical Statistics


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