The use of indicator variables in computing predictions

DOI10.1016/0304-4076(80)90009-3zbMath0425.62047OpenAlexW1995386532MaRDI QIDQ1135592

Wayne A. Fuller

Publication date: 1980

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(80)90009-3

zbMATH Keywords

autoregressive time seriesdummy variablesconstruction of predictionsestimation of variances of prediction errorsindicator variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) General nonlinear regression (62J02) Economic time series analysis (91B84)

Related Items (3)

Indicator Variables in Spatial Prediction WhenΣIs Unknown ⋮ A note on extended least squares methods for cluster sampling ⋮ Linear restrictions and two step least squares with applications

Uses Software

• SAS

Cites Work

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• The use of dummy variables to compute predictions, prediction errors, and confidence intervals
• The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model
• Nonlinear Regression
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Best Linear Unbiased Prediction in the Generalized Linear Regression Model

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