Finite Sample Properties of Several Predictors From an Autoregressive Model
比较了基于最大似然、两种最小二乘和Yule-Walker估计的四种常用预测量的分布性质，推导了它们的渐近展开式至O(T^{-1})阶，发现除Yule-Walker型外其余三种性质相同。
We compare the distributional properties of the four predictors commonly used in practice. They are based on the maximum likelihood, two types of the least squared, and the Yule-Walker estimators. The asymptotic expansions of the distribution, bias, and mean-squared error for the four predictors are derived up to O ( T −1 ), where T is the sample size. Examining the formulas of the asymptotic expansions, we find that except for the Yule-Walker type predictor, the other three predictors have the same distributional properties up to O ( T −1 ).