Prediction in regression with autocorrelated normal and non-normal errors

DOI10.1080/03610918608812500zbMATH Open0601.62088OpenAlexW1970453437MaRDI QIDQ3736746FDOQ3736746

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

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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)

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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