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Prediction of two periods by simple autoregressive models with one lag

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Summary

Three different methods are compared by their ability to predict two periods ahead in simple autoregressive models with one lag. In this study both artificial and historical time series are used. In spite of intuitive objections the usual least squares method performs relatively well. Moreover attention is paid to the estimation results, as they provide some links with other studies of the autoregressive model.

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Authors
  1. F. A. G. Den Butter
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Additional information

I am indebted to Dr. M. M. G. Fase and professor A. H. Q. M. Merkies for useful suggestions and remarks and above all to professor J. S. Cramer for his critical comments and his great help in drafting this article. Currently I am research associate of the Econometric and Special Studies Section of the Domestic Research Department at De Nederlandsche Bank N.V., P.O. Box 98, Amsterdam, but the main part of this study was completed at the Instituut voor Actuariaat en Econometric of the University of Amsterdam.

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Den Butter, F.A.G. Prediction of two periods by simple autoregressive models with one lag. De Economist 123, 58–74 (1975). https://doi.org/10.1007/BF02115563

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