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TESTING FOR ARMA(1, 1) DISTURBANCES IN THE LINEAR REGRESSION MODEL

✍ Scribed by SHAHIDUR RAHMAN; MAXWELL L. KING


Book ID
115212343
Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
602 KB
Volume
32
Category
Article
ISSN
0004-900X

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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