Predictions from ARMAX models

DOI10.1016/0304-4076(80)90062-7zbMath0424.62068OpenAlexW2001166834MaRDI QIDQ1135077

Richard T. Baillie

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90062-7

zbMATH Keywords

regression modelminimum mean squared error predictorsingle equation ARMAX model, maximum likelihood estimates

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (9)

Consistent GMM Residuals-Based Tests of Functional Form ⋮ Measuring the Advantages of Multivariate vs. Univariate Forecasts ⋮ Prediction mean square error for non-stationary multivariate time series using estimated parameters ⋮ Aggregation of space-time processes. ⋮ Prediction in dynamic models with time-dependent conditional variances ⋮ On robust forecasting in dynamic vector time series models ⋮ Optimized regression models for time series ⋮ A note on asymptotic parametric prediction ⋮ Prediction from the regression model with two-way error components

Cites Work

• Unnamed Item
• Forecasting in dynamic models with stochastic regressors
• Time series analysis and simultaneous equation econometric models
• The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
• The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
• Best Linear Unbiased Prediction in the Generalized Linear Regression Model
• Least squares estimation in the regression model with autoregressive-moving average errors

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