Econometric forecasting via discounted least squares

Robert A. Agnew

Naval Research Logistics Quarterly, 1982, vol. 29, issue 2, 291-302

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.

Date: 1982
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https://doi.org/10.1002/nav.3800290210

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:29:y:1982:i:2:p:291-302

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