The Bias of Forecasts from a First-Order Autoregression
研究了正态自回归模型yt=α+βyt-1+ut中多期最小二乘预测的精确有限样本偏差，给出了偏差存在的充要条件，并详细分析了单位根和近单位根行为，纠正了一些常见误解。
The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model y t = α + β y t –1 + u t . Necessary and sufficient conditions are given for the existence of the bias and an expression is presented which we use to obtain exact numerical results for finite samples. The unit root and near unit root behavior is studied in detail and some popular preconceptions about the behavior of the bias are shown to be false.