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Optimality of GLS for one-step-ahead forecasting with RegARIMA and related models when the regression is misspecified

Findley, David F. - In: Econometric theory 23 (2007) 6, pp. 1083-1107

Persistent link: https://www.econbiz.de/10003591818

Nonparametric spline regression with autoregressive moving average errors

Kohn, Robert; Ansley, Craig F.; Wong, Chi-ming - 1991

Persistent link: https://www.econbiz.de/10000849734

Seasonality in dynamic regression models

Harvey, Andrew C.; Scott, Andrew - 1993

Persistent link: https://www.econbiz.de/10000868404

Seasonality in dynamic regression models

Harvey, Andrew C.; Scott, Andrew - 1994

Persistent link: https://www.econbiz.de/10000885911

Computing observation weights for signal extraction and filtering

Koopman, Siem Jan; Harvey, Andrew C. - In: Journal of economic dynamics & control 27 (2003) 7, pp. 1317-1333

Persistent link: https://www.econbiz.de/10001736096

Quantiles, expectiles and splines

Rossi, Giuliano De; Harvey, Andrew C. - In: Journal of econometrics 152 (2009) 2, pp. 179-185

Persistent link: https://www.econbiz.de/10003892738

Time-Varying Quantiles

Rossi, Giuliano De (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003360337

Quantiles, expectiles and splines

Rossi, Giuliano De (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003565797

SPURIOUS REGRESSIONS WITH PROCESSESAROUND LINEAR TRENDS OR DRIFTS

Kim, Tae-Hwan; Lee-Scheller, Young-Sook; Newbold, Paul - University <Nottingham> / Department of Economics - 2003

In this paper we consider the situation where the deterministiccomponents of the processes generating individual series are linear trendsand the individual series are independent I(0) or I(1) processes. We showthat when those time series are used in ordinary least squares regression,the...

Persistent link: https://www.econbiz.de/10005868905

Spurious regressions with processes around linear trends or drifts

Kim, Tai-Hwan (contributor); Lee, Young-Sook (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001762063