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Econometric forecasting via discounted least squares

โœ Scribed by Robert A. Agnew

Publisher
John Wiley and Sons
Year
1982
Tongue
English
Weight
683 KB
Volume
29
Category
Article
ISSN
0894-069X

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โœฆ Synopsis

Abstract

Simple direct smoothing formulas are derived for updating coefficient estimates and forecasts in a discounted least squares model. These formulas are the natural extensions of R. G. Brown's wellโ€known smoothing formulas to a general econometric setting with arbitrary explanatory time series. The recursive updating process and its forecast error properties are illustrated via a simple, yet realistic numerical example.

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