{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T06:08:20Z","timestamp":1792044500923,"version":"4.4.0"},"reference-count":13,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":7926,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1987,6]]},"abstract":"<jats:p>We compare the distributional properties of the four predictors commonly used in practice. They are based on the maximum likelihood, two types of the least squared, and the Yule-Walker estimators. The asymptotic expansions of the distribution, bias, and mean-squared error for the four predictors are derived up to <jats:italic>O<\/jats:italic>(<jats:italic>T<\/jats:italic><jats:sup>\u22121<\/jats:sup>), where <jats:italic>T<\/jats:italic> is the sample size. Examining the formulas of the asymptotic expansions, we find that except for the Yule-Walker type predictor, the other three predictors have the same distributional properties up to <jats:italic>O<\/jats:italic>(<jats:italic>T<\/jats:italic><jats:sup>\u22121<\/jats:sup>).<\/jats:p>","DOI":"10.1017\/s0266466600010446","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:46:34Z","timestamp":1236699994000},"page":"359-370","source":"Crossref","is-referenced-by-count":16,"title":["Finite Sample Properties of Several Predictors From an Autoregressive Model"],"prefix":"10.1017","volume":"3","author":[{"given":"Koichi","family":"Maekawa","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600010446_ref008","unstructured":"8. Maekawa K. Finite sample properties of several predictors from an autoregressive model. Technical Report. No. 165, Statistical Research Group, Hiroshima University, 1985."},{"key":"S0266466600010446_ref003","volume-title":"Time series analysis: Forecasting and control","author":"Box","year":"1970"},{"key":"S0266466600010446_ref007","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600011154"},{"key":"S0266466600010446_ref011","doi-asserted-by":"publisher","DOI":"10.2307\/1913972"},{"key":"S0266466600010446_ref010","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(79)90073-3"},{"key":"S0266466600010446_ref001","volume-title":"The statistical analysis of time series","author":"Anderson","year":"1971"},{"key":"S0266466600010446_ref005","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1981.10477622"},{"key":"S0266466600010446_ref006","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316429"},{"key":"S0266466600010446_ref009","doi-asserted-by":"publisher","DOI":"10.2307\/1911222"},{"key":"S0266466600010446_ref012","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(84)90005-8"},{"key":"S0266466600010446_ref013","doi-asserted-by":"publisher","DOI":"10.2307\/2346680"},{"key":"S0266466600010446_ref002","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1979.10481635"},{"key":"S0266466600010446_ref004","doi-asserted-by":"publisher","DOI":"10.1007\/BF02481958"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600010446","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,21]],"date-time":"2019-05-21T19:26:13Z","timestamp":1558466773000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600010446\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1987,6]]},"references-count":13,"journal-issue":{"issue":"3","published-print":{"date-parts":[[1987,6]]}},"alternative-id":["S0266466600010446"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600010446","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1987,6]]}}}