OPTIMALITY OF GLS FOR ONE-STEP-AHEAD FORECASTING WITH REGARIMA AND RELATED MODELS WHEN THE REGRESSION IS MISSPECIFIED
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Publication:2886977
DOI10.1017/S0266466607070430zbMath1274.62588MaRDI QIDQ2886977
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Cites Work
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- Generalized Least Squares with an Estimated Autocovariance Matrix
- Intervention Analysis with Applications to Economic and Environmental Problems
- Asymptotic Inference about Predictive Ability
- Least squares estimation in the regression model with autoregressive-moving average errors
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