Prediction in regression with autocorrelated normal and non-normal errors

DOI10.1080/03610918608812500MaRDI QIDQ3736746zbMATH OpenOpenAlexFDO

Authors Saleh Amirkhalkhali, U. L. Gouranga Rao

Publication date 1986

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918608812500

zbMATH Keywords

efficiencyordinary least squaressimulation studysmall sample propertiesCochrane-Orcutt estimatormaximum likelihood predictorsautocorrelated normal and non-normal errorsgeneralized least squares predictor

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

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Cited in

(4)

• Improved autoregressive forecasts in the presence of non-normal errors
• Estimation and testing procedures for non-normal samples: an introduction and a bibliography
• Prediction for seemingly unrelated regressions with autocorrelated errors
• On the reliability of quasi-t-statistics: Some Monte Carlo results

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