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

By John Bossons


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.

DOI identifier: 10.1287/mnsc.12.9.659
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