{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,22]],"date-time":"2026-09-22T19:09:28Z","timestamp":1790104168571,"version":"4.0.1"},"reference-count":9,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2006,11,7]],"date-time":"2006-11-07T00:00:00Z","timestamp":1162857600000},"content-version":"vor","delay-in-days":5789,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[1991,1]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>In this paper I describe the effect of parameter uncertainty on the way conditional forecast variances grow as the forecast horizon increases. Without parameter uncertainty, forecast variances for the unit root model grow linearly with the forecast horizon while with the trend stationary model they are bounded. With parameter uncertainty, however, I find that for both the unit root and the trend stationary models, forecast variances grow with the square of the forecast horizon so that uncertainty grows at a much faster rate than without parameter uncertainty.<\/jats:p>","DOI":"10.1002\/jae.3950060106","type":"journal-article","created":{"date-parts":[[2007,7,12]],"date-time":"2007-07-12T15:22:46Z","timestamp":1184253766000},"page":"67-76","source":"Crossref","is-referenced-by-count":31,"title":["The effect of parameter uncertainty on forecast variances and confidence intervals for unit root and trend stationary time\u2010series models"],"prefix":"10.1002","volume":"6","author":[{"given":"Michael","family":"Sampson","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2006,11,7]]},"reference":[{"key":"e_1_2_1_2_1","volume-title":"Time Series Analysis: Forecasting and Control","author":"Box G.","year":"1976"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1884285"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1086\/261569"},{"key":"e_1_2_1_5_1","volume-title":"Introduction to Time Series","author":"Fuller W. A.","year":"1976"},{"key":"e_1_2_1_6_1","series-title":"Time Series in the Time Domain","first-page":"1","volume-title":"Handbook of Statistics","author":"Fuller W. A.","year":"1985"},{"key":"e_1_2_1_7_1","doi-asserted-by":"crossref","first-page":"155","DOI":"10.1080\/01621459.1981.10477622","article-title":"Properties of predictors for autoregressive time series","volume":"76","author":"Fuller W. A.","year":"1981","journal-title":"Journal of the American Statistical Association"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(82)90012-5"},{"key":"e_1_2_1_9_1","volume-title":"Spectral Analysis and Time Series","author":"Priestly M. B.","year":"1981"},{"key":"e_1_2_1_10_1","unstructured":"Sampson M. J.(1990) \u2018The growth of long\u2010run uncertainty in macroeconomic time series models\u2019 working paper Department of Economics Concordia University."}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.3950060106","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.3950060106","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,23]],"date-time":"2023-10-23T02:50:04Z","timestamp":1698029404000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.3950060106"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1991,1]]},"references-count":9,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1991,1]]}},"alternative-id":["10.1002\/jae.3950060106"],"URL":"https:\/\/doi.org\/10.1002\/jae.3950060106","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[1991,1]]}}}