Time-Series Near-Neighbor Regression
Jaditz Ted and
Riddick Leigh A.
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Jaditz Ted: CNA Corporation
Riddick Leigh A.: American University
Studies in Nonlinear Dynamics & Econometrics, 2000, vol. 4, issue 1, 1-11
Near-neighbor regression is a popular empirical tool. In this note, we describe the general algorithm for the technique and we identify several potential problem areas that researchers should consider. Standard statistical packages are generally inflexible, and hide important modeling decisions from the researcher. We provide code for a simple but very flexible routine that readers can customize for their own use.
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