SOME FORECASTING APPLICATIONS OF PARTIALLY ADAPTIVE ESTIMATORS OF ARIMA MODELS

Authors
MCDONALD JB XU YX
Citation
Jb. Mcdonald et Yx. Xu, SOME FORECASTING APPLICATIONS OF PARTIALLY ADAPTIVE ESTIMATORS OF ARIMA MODELS, Economics letters, 45(2), 1994, pp. 155-160
Citations number
14
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
45
Issue
2
Year of publication
1994
Pages
155 - 160
Database
ISI
SICI code
0165-1765(1994)45:2<155:SFAOPA>2.0.ZU;2-5
Abstract
This paper investigates the relative forecasting performance of some p artially adaptive estimators of ARIMA models based on flexible paramet ric error distributions which allow for kurtosis and skewness. These m ethods are used to obtain forecasts of some well-known data sets.