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2013 May 09
0
ARMA(p,q) prediction with pre-determined coefficients
I have the following time series model for prediction purposes
*Loss_t = b1* Loss_(t-1) + b2*GDP_t + b3*W_(t-1)* where W_t is the
usual white noise variable.
So this is similar to ARMA(1,1) except that it also contains an extra
predictor, GDP at time t.
I have only 20 observations on each variable except GDP for which I know
till 100 values.
And most importa...