Performance of Alternative Predictors for the Unit Root Process

Ahmed Youssef
A comparison between Ordinary Least Squares (OLS), Weighted Symmetric (WS), Modified Weighted Symmetric (MWS), Maximum Likelihood (ML), and our new Modification for Least Squares (MLS) estimator for the first order autoregressive are studied in the case of unit root using the Monte Carlo method. The Monte Carlo study sheds some light on how well the estimators, and the predictors on different samples size. We found that MLS estimator is less bias and mean squares error than any other
more » ... ny other estimators, while MWS predictor error performs well, in the sense of MSE, than any other predictors' methods. The sample percentiles for the distribution of the τ statistic for the first, the second, and the third periods in the future, for alternative estimators, are reported to know if it agrees with those of normal distribution.