Improved autoregressive forecasts in the presence of non-normal errors

DOI10.1080/00949655.2014.945930MaRDI QIDQ5220925zbMATH OpenOpenAlexFDO

Authors Jing Li, Junsoo Lee

Publication date 27 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2014.945930

zbMATH Keywords

autoregressive modelforecastleast absolute deviations estimatornon-normalityresidual augmented least squares

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimation Bias in the First-Order Autoregressive Model and Its Impact on Predictions and Prediction Intervals
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 3053501 (Why is no real title available?)
• More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares
• Mostly harmless econometrics. An empiricist's companion.
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Redundancy of moment conditions
• The Bias of Autoregressive Coefficient Estimators
• Threshold models in non-linear time series analysis

Cited in

(5)

• Erratum to: ``Prediction for some non-Gaussian autoregressive schemes
• RALS-LM unit root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis
• Testing for stationarity with covariates: more powerful tests with non-normal errors
• On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction
• Bootstrap choice of non-nested autoregressive model with non-normal innovations

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