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The Effects of Parameter Misspecification and Non-Stationarity on the Applicability of Adaptive Forecasts

John Bossons
Management Science
Vol. 12, No. 9, Series A, Sciences (May, 1966), pp. 659-669
Published by: INFORMS
Stable URL: http://www.jstor.org/stable/2627943
Page Count: 11
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The Effects of Parameter Misspecification and Non-Stationarity on the Applicability of Adaptive Forecasts
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Abstract

A "blowup factor" is defined for the measurement of the effect on forecast error variance of two types of misspecification which may be implicit in the choice of a particular adaptive forecasting scheme: (1) misspecification of the number of non-zero parameters of the stationary linear stochastic process generating the observed time series, and (2) misspecification arising from postulating stationarity when in fact the generating process is non-stationary in mean.

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