A tutorial note on the properties of ARIMA optimal forecasts
AbstractAssuming an ARIMA(p,I,q) model represents the data, I show how optimal forecasts can be computed and derive general expressions for its main properties of interest. Namely, I present stepwise derivations of expressions for the variances of forecast errors, and the covariances between them at arbitrary forecasting horizons. Matricial forms for these expressions are also presented to facilitate computational implementation.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 40303.
Date of creation: 10 Jan 2012
Date of revision: 27 Jul 2012
optimal forecasts; forecasts properties; ARIMA;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
- NEP-ETS-2012-08-23 (Econometric Time Series)
- NEP-FOR-2012-08-23 (Forecasting)
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