Let {yt} be an I(1) sequence. Suppose that ?n is the one-step-ahead forecast of ?yn+1 and let e2a31c70_a1b4_499e_897f_3a1926a813a9_SMCC2709_11 be the one-step-ahead forecast of yn+1. Explain why the forecast errors for forecasting ?yn+1 and yn+1 are identical.

Introductory Econometrics: A Modern Approach 6th Edition by Jeffrey M Wooldridge

Edition 6ISBN: 130527010X

Introductory Econometrics: A Modern Approach 6th Edition by Jeffrey M Wooldridge

Edition 6ISBN: 130527010X

Exercise 22

Let {yt} be an I(1) sequence. Suppose that ?n is the one-step-ahead forecast of ?yn+1 and let be the one-step-ahead forecast of yn+1. Explain why the forecast errors for forecasting ?yn+1 and yn+1 are identical.

Explanation

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Let amp; be the forecast error for forecasti ...