Let {yt} be an I(1) sequence. Suppose that n is the one-step-ahead forecast of yn+1 and let 11eb9ee2_f1ed_24aa_8edd_f120f6d3768d_SM2712_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 4th Edition by Jeffrey Wooldridge

Edition 4ISBN: 978-0324660609

Edition 4ISBN: 978-0324660609

Exercise 23

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 be the forecast error for forecasti...