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Sensitivity of univariate AR(1) time-series forecasts near the unit root

Sensitivity of univariate AR(1) time-series forecasts near the unit root
Sensitivity of univariate AR(1) time-series forecasts near the unit root
unit root, forecasting, univariate time series, sensitivity
0277-6693
203-229
Banerjee, Anurag N.
4f772e58-24c0-4266-ba41-18f70a6108c4
Banerjee, Anurag N.
4f772e58-24c0-4266-ba41-18f70a6108c4

Banerjee, Anurag N. (2001) Sensitivity of univariate AR(1) time-series forecasts near the unit root. Journal of Forecasting, 20 (3), 203-229. (doi:10.1002/1099-131X(200104)20:3<203::AID-FOR766>3.0.CO;2-D).

Record type: Article

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Published date: 2001
Keywords: unit root, forecasting, univariate time series, sensitivity

Identifiers

Local EPrints ID: 32927
URI: https://eprints.soton.ac.uk/id/eprint/32927
ISSN: 0277-6693
PURE UUID: ac66a4e2-f6cd-4e8a-8780-67a1d3c26a88

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Date deposited: 15 May 2006
Last modified: 15 Jul 2019 19:07

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