Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified

DOI10.1017/S0266466607070430MaRDI QIDQ2886977zbMATH OpenFDO

Authors David F. Findley

Publication date 14 May 2012

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• scientific article; zbMATH DE number 2199140
• Forecasting with serially correlated regression models
• Generalized least squares with misspecified serial correlation structures
• scientific article; zbMATH DE number 1329173
• Using least squares to generate forecasts in regressions with serial correlation

Cites work

• Asymptotic Inference about Predictive Ability
• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• Generalized Least Squares with an Estimated Autocovariance Matrix
• Generalized least squares with misspecified serial correlation structures
• Intervention Analysis with Applications to Economic and Environmental Problems
• Least squares estimation in the regression model with autoregressive-moving average errors
• Modeling Time Series With Calendar Variation
• Modeling of time series arrays by multistep prediction or likelihood methods.
• OLS or GLS in the presence of specification error? An expected loss approach
• The Finite Memory Prediction of Covariance Stationary Time Series
• Uniform convergence of sample second moments of families of time series arrays.

Cited in

(3)

• scientific article; zbMATH DE number 2199140 (Why is no real title available?)
• OLS or GLS in the presence of specification error? An expected loss approach
• Forecasting with serially correlated regression models

This page was built for publication: Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2886977)