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Double-length regressions for linear and log-linear regressions with AR(1) disturbances

โœ Scribed by Badi H. Baltagi

Publisher
Springer-Verlag
Year
1999
Tongue
English
Weight
467 KB
Volume
40
Category
Article
ISSN
0932-5026

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Linear regression forecasting in the presence of ar(1) disturbances
โœ Abdul Latif; Maxwell L. King ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 679 KB

This paper is concerned with time-series forecasting based on the linear regression model in the presence of AR(1) disturbances. The standard approach is to estimate the AR(1) parameter, p, and then construct forecasts assuming the estimated value is the true value. We introduce a new approach which