Econometric forecasting via discounted least squares |
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Authors: | Robert A. Agnew |
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Abstract: | Simple direct smoothing formulas are derived for updating coefficient estimates and forecasts in a discounted least squares model. These formulas are the natural extensions of R. G. Brown's well-known smoothing formulas to a general econometric setting with arbitrary explanatory time series. The recursive updating process and its forecast error properties are illustrated via a simple, yet realistic numerical example. |
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