Dealing with serial correlation in regression

MaRDI QIDQ5455536zbMATH OpenFDO

Authors Sergio G. Koreisha, Yue Fang

Publication date 3 April 2008

zbMATH Keywords

tablesconsistencyautocorrelationARMA processesautoregressive moving averagemodel identificationgeneralized least squaresrelative predictive efficiency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Forecasting with serially correlated regression models
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Cited in

(5)

• scientific article; zbMATH DE number 3878201 (Why is no real title available?)
• Forecasting with serially correlated regression models
• First-order serial correlation in seemingly unrelated regressions
• Least absolute error estimation in the presence of serial correlation
• Using least squares to generate forecasts in regressions with serial correlation

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