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

DOI10.1017/S0266466607070430zbMATH Open1274.62588MaRDI QIDQ2886977FDOQ2886977

Authors: David F. Findley 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

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

Cites Work

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

Cited In (3)

• Title not available (Why is that?)
• OLS or GLS in the presence of specification error? An expected loss approach
• Forecasting with serially correlated regression models

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