The exact multi-period mean-square forecast error for the first-order autoregressive model

A-Tier

Journal: Journal of Econometrics

Year: 1988

Volume: 39

Issue: 3

Pages: 327-346

Authors (3)

Hoque, Asraul (not in RePEc) Magnus, Jan R. (Vrije Universiteit Amsterdam) Pesaran, Bahram (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count