Key points are not available for this paper at this time.
P. Newbold, C. W. J. Granger, Experience with Forecasting Univariate Time Series and the Combination of Forecasts, Journal of the Royal Statistical Society. Series A (General), Vol. 137, No. 2 (1974), pp. 131-165
Newbold et al. (Tue,) studied this question.