DOI: 10.1002/nav.3800290210. Econometric forecasting via discounted least squares

Econometric forecasting via discounted least squares

10.1002/nav.3800290210

Crossref journal-article

Wiley

Naval Research Logistics Quarterly (311)

Abstract

AbstractSimple 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.

Bibliography

Agnew, R. A. (1982). Econometric forecasting via discounted least squares. Naval Research Logistics Quarterly, 29(2), 291â302. Portico.

Authors 1

Robert A. Agnew (first)

References 7 Referenced 4

{'key': 'e_1_2_1_2_2', 'volume-title': 'Smoothing, Forecasting and Prediction of Discrete Time Series', 'author': 'Brown R. G.', 'year': '1962'} / Smoothing, Forecasting and Prediction of Discrete Time Series by Brown R. G. (1962)
{'key': 'e_1_2_1_3_2', 'volume-title': 'Econometric Methods', 'author': 'Johnston J.', 'year': '1972'} / Econometric Methods by Johnston J. (1972)
{'key': 'e_1_2_1_4_2', 'volume-title': 'Forecasting and Time Series Analysis', 'author': 'Montgomery D. C.', 'year': '1976'} / Forecasting and Time Series Analysis by Montgomery D. C. (1976)
10.2307/2284249
10.1002/9780470316436
{'key': 'e_1_2_1_7_2', 'volume-title': 'Principles of Econometrics', 'author': 'Theil H.', 'year': '1971'} / Principles of Econometrics by Theil H. (1971)
10.1057/jors.1967.5

Dates

Type	When
Created	18 years, 3 months ago (May 10, 2007, 8:02 a.m.)
Deposited	1 year, 10 months ago (Oct. 18, 2023, 3:43 p.m.)
Indexed	4 months ago (May 5, 2025, 8:11 p.m.)
Issued	43 years, 3 months ago (June 1, 1982)
Published	43 years, 3 months ago (June 1, 1982)
Published Online	18 years, 9 months ago (Nov. 21, 2006)
Published Print	43 years, 3 months ago (June 1, 1982)

Funders 0

None

BibTeX

@article{Agnew_1982, title={Econometric forecasting via discounted least squares}, volume={29}, ISSN={1931-9193}, url={http://dx.doi.org/10.1002/nav.3800290210}, DOI={10.1002/nav.3800290210}, number={2}, journal={Naval Research Logistics Quarterly}, publisher={Wiley}, author={Agnew, Robert A.}, year={1982}, month=jun, pages={291–302} }

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