Forecasting with serially correlated regression models
DOI10.1080/00949650310001620112zbMATH Open1052.62091OpenAlexW2030634867MaRDI QIDQ4826352FDOQ4826352
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
Recommendations
- Using least squares to generate forecasts in regressions with serial correlation
- Dealing with serial correlation in regression
- Generalized least squares with misspecified serial correlation structures
- Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified
- scientific article; zbMATH DE number 2199140
simulationsARMA processesgeneralized least squaresasymptotic mean squared errorsautoregressive disturbancesincorrect generalized least squarespredictive mean squared efficiency
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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- Generalized least squares with misspecified serial correlation structures
- Application of Least Squares Regression to Relationships Containing Auto- Correlated Error Terms
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- The Asymptotic Mean Squared Error of Multistep Prediction from the Regression Model with Autoregressive Errors
- Useful invariance results for generalized regression models
- Specification of the Disturbance for Efficient Estimation
- On the Prediction Efficiency of the Generalized Least Squares Model with an Estimated Variance Covariance Matrix
Cited In (13)
- BLUP in the nested panel regression model with serially correlated errors
- Optimality of GLS for one-step-ahead forecasting with regARIMA and related models when the regression is misspecified
- Adaptive order determination for constructing time series forecasting models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Prediction for seemingly unrelated regressions with autocorrelated errors
- Forecasting autoregressive time series in the presence of deterministic components
- Prediction in regression with autocorrelated normal and non-normal errors
- Dealing with serial correlation in regression
- Least absolute error estimation in the presence of serial correlation
- Using least squares to generate forecasts in regressions with serial correlation
- Title not available (Why is that?)
- Generalized least squares with misspecified serial correlation structures
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