Forecasting with serially correlated regression models

Fang, Yue and Koreisha, Sergio G. (2004) Forecasting with serially correlated regression models. Journal of Statistical Computation And Simulation, 74 9: 625-649. doi:10.1080/00949650310001620112

Author Fang, Yue
Koreisha, Sergio G.
Title Forecasting with serially correlated regression models
Journal name Journal of Statistical Computation And Simulation   Check publisher's open access policy
ISSN 0094-9655
Publication date 2004
Sub-type Article (original research)
DOI 10.1080/00949650310001620112
Volume 74
Issue 9
Start page 625
End page 649
Total pages 25
Editor R. Krutchkoff
Place of publication Oxfordshire, UK
Publisher Taylor & Francis
Collection year 2004
Language eng
Subject C1
230203 Statistical Theory
729999 Economic issues not elsewhere classified
Abstract In this article we investigate the asymptotic and finite-sample properties of predictors of regression models with autocorrelated errors. We prove new theorems associated with the predictive efficiency of generalized least squares (GLS) and incorrectly structured GLS predictors. We also establish the form associated with their predictive mean squared errors as well as the magnitude of these errors relative to each other and to those generated from the ordinary least squares (OLS) predictor. A large simulation study is used to evaluate the finite-sample performance of forecasts generated from models using different corrections for the serial correlation.
Keyword Computer Science, Interdisciplinary Applications
Statistics & Probability
Asymptotic Mean Squared Errors
Autoregressive Disturbances
Generalized Least Squares
Incorrect Generalized Least Squares
Predictive Mean Squared Efficiency
Generalized Least-squares
Q-Index Code C1

Document type: Journal Article
Sub-type: Article (original research)
Collections: School of Mathematics and Physics
2005 Higher Education Research Data Collection
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 1 times in Thomson Reuters Web of Science Article | Citations
Scopus Citation Count Cited 4 times in Scopus Article | Citations
Google Scholar Search Google Scholar
Created: Wed, 15 Aug 2007, 03:21:43 EST