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Yule-Walker Prediction Error in a Random Walk Model

Published online by Cambridge University Press:  11 February 2009

Hiroyuki Hisamatsu
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Abstract

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Type
Problems
Information
Econometric Theory , Volume 9 , Issue 4 , August 1993 , pp. 688 - 689
Copyright
Copyright © Cambridge University Press 1993

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References

1.Kemp, G.C.R.The Distribution of Forecast Error from an Estimated Random Walk, mimeo, University of Essex, England.Google Scholar