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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
Solutions
Information
Econometric Theory , Volume 11 , Issue 3 , June 1995 , pp. 659 - 661
Copyright
Copyright © Cambridge University Press 1995

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References

Kemp, G.C.R. (no date) The Distribution of Forecast Error From an Estimated Random Walk. Mimeo, University of Essex, England.Google Scholar