OPTIMALITY OF GLS FOR ONE-STEP-AHEAD FORECASTING WITH REGARIMA AND RELATED MODELS WHEN THE REGRESSION IS MISSPECIFIED
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چکیده
منابع مشابه
RESEARCH REPORT SERIES (Statistics #2003-06) Properties of Forecast Errors and Estimates of Misspecified RegARIMA and Intermediate Memory Models and the Optimality of GLS for One-Step-Ahead Forecasting
We consider the modeling of time series that have an asymptotically stationary autocovariance structure and a mean function of linear regression form in which the regression vector satis es a weakened version of Grenanders conditions, one that allows transitory regression variables of the sort used for outlier and intervention e¤ect modeling. Neither the models regression vector sequence nor ...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2007
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466607070430