Forecasting with serially correlated regression models

DOI10.1080/00949650310001620112MaRDI QIDQ4826352zbMATH OpenOpenAlexFDO

Authors Yue Fang, Sergio G. Koreisha

Publication date 11 November 2004

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650310001620112

zbMATH Keywords

simulationsARMA processesgeneralized least squaresasymptotic mean squared errorsautoregressive disturbancesincorrect generalized least squarespredictive mean squared efficiency

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Statistical tables (62Q05)

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Cites work

• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
• Best Linear Unbiased Prediction in the Generalized Linear Regression Model
• Consistent autoregressive spectral estimates
• Estimation of a linear regression model with stationary ARMA (p,q) errors
• Generalized Least Squares with an Estimated Autocovariance Matrix
• Generalized least squares with misspecified serial correlation structures
• Least squares estimation in the regression model with autoregressive-moving average errors
• Linear prediction by autoregressive model fitting in the time domain
• On the Prediction Efficiency of the Generalized Least Squares Model with an Estimated Variance Covariance Matrix
• Specification of the Disturbance for Efficient Estimation
• The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
• Useful invariance results for generalized regression models

Cited in

(13)

• BLUP in the nested panel regression model with serially correlated errors
• Generalized least squares with misspecified serial correlation structures
• Adaptive order determination for constructing time series forecasting models
• scientific article; zbMATH DE number 4128271 (Why is no real title available?)
• Prediction for seemingly unrelated regressions with autocorrelated errors
• Least absolute error estimation in the presence of serial correlation
• Forecasting autoregressive time series in the presence of deterministic components
• Prediction in regression with autocorrelated normal and non-normal errors
• scientific article; zbMATH DE number 2199140 (Why is no real title available?)
• Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified
• Dealing with serial correlation in regression
• scientific article; zbMATH DE number 4080663 (Why is no real title available?)
• Using least squares to generate forecasts in regressions with serial correlation

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