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Efficiency of iterative estimators in the regression model with AR(1) disturbances

✍ Scribed by Lonnie Magee


Book ID
107949928
Publisher
Elsevier Science
Year
1985
Tongue
English
Weight
620 KB
Volume
29
Category
Article
ISSN
0304-4076

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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