Dealing with serial correlation in regression

zbMATH Open1144.62341MaRDI QIDQ5455536FDOQ5455536

Authors: Sergio G. Koreisha, Yue Fang 

Publication date: 3 April 2008

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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)

Cited In (5)

• 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
• Title not available (Why is that?)
• Forecasting with serially correlated regression models

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