{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,31]],"date-time":"2026-07-31T11:37:37Z","timestamp":1785497857407,"version":"3.56.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[1999,4,1]],"date-time":"1999-04-01T00:00:00Z","timestamp":922924800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1999,4]]},"abstract":"<jats:p>We develop asymptotic approximations to the distribution \nof forecast errors from an estimated AR(1) model with no \ndrift when the true process is nearly <jats:italic>I<\/jats:italic>(1) and both \nthe forecast horizon and the sample size are allowed to increase \nat the same rate. We find that the forecast errors are the sums of two \ncomponents that are asymptotically independent. The first is \nasymptotically normal whereas the second is asymptotically nonnormal. \nThis throws doubt on the suitability of a normal approximation \nto the forecast error distribution. We then perform a Monte \nCarlo study to quantify further the effects on the forecast \nerrors of sampling variability in the parameter estimates \nas we allow both forecast horizon and sample size to increase.<\/jats:p>","DOI":"10.1017\/s026646669915206x","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T09:45:46Z","timestamp":1027763146000},"page":"238-256","source":"Crossref","is-referenced-by-count":14,"title":["THE BEHAVIOR OF FORECAST ERRORS FROM A NEARLY INTEGRATED \nAR(1) MODEL AS BOTH SAMPLE SIZE AND FORECAST HORIZON BECOME \nLARGE"],"prefix":"10.1017","volume":"15","author":[{"given":"Gordon C.R.","family":"Kemp","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[1999,4,1]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646669915206X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,3,29]],"date-time":"2019-03-29T15:36:41Z","timestamp":1553873801000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646669915206X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1999,4]]},"references-count":0,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1999,4]]}},"alternative-id":["S026646669915206X"],"URL":"https:\/\/doi.org\/10.1017\/s026646669915206x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1999,4]]}}}