effects on forecasting of autocorrelated disturbance terms and trended independent variables

effects on forecasting of autocorrelated disturbance terms and trended independent variables

Extract: Much is made in the classical econometric texts of the deleterious effects of autocorrelated error terms in regression analysis. Most of the literature, however, focuses on the effects of autocorrelation on estimation, i.e., the estimation of the model's parameters, the alpha and beta...

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Veröffentlicht in:Southern economic journal 1982, Vol.48 (3), p.662-669
Hauptverfasser: Schieren, G.A, Carr, R.P. Jr
Format: Artikel
Sprache:eng
Schlagworte:
Analytical forecasting
Autocorrelation
Coefficients
Distributed lag model
Econometrics
Economic forecasting
Economic forecasting models
Economic models
Economic value
Errors
Estimators
Forecasting models
forecasts
mathematical models
Monte Carlo simulation
Statistical analysis
Statistical forecasts
Statistical variance
T-Correlation analysis
T-Covariance analysis
T-Regression analysis
Time series forecasting
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Beschreibung
Zusammenfassung:Extract: Much is made in the classical econometric texts of the deleterious effects of autocorrelated error terms in regression analysis. Most of the literature, however, focuses on the effects of autocorrelation on estimation, i.e., the estimation of the model's parameters, the alpha and beta coefficients. This study concerns the effects of autocorrelation in another area, that of forecasting, and the resulting size of the forecast error.
ISSN:0038-4038
2325-8012
DOI:10.2307/1058658