LINEAR STOCHASTIC FORECASTING MODEL WITH MOVING AVERAGE PROCESS FOR DISTURBANCES

Abstract

Forecasting methodology starts basically with model building. In forecasting
models, linear regression models are widely used, attention is concerned on model
specification when the model is chosen to be linear. There is considerable literature on
the problem of estimating linear stochastic model with first order Moving Average
(MA) disturbances. The estimation methods suggested in the literature are not
computationally simple and they are not easily generalized for the higher order MA
disturbances.