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Prediction of the future events. It is a special case of [prediction], in the context of [time-series].

5 votes
2 answers
4k views

Prediction with GLS

Let's say I build a Generalized Least Squares model. I follow the standard procedure and first estimate a LM model. Then I create an error-response covariance matrix based on the residuals of this mod …
Ram Ahluwalia's user avatar
1 vote

Constructing a naive recession forecast

Use a logistic model predicting the probability of a recession using independent variables such as the slope of the yield curve, trailing stock market returns, short-interest rate, and credit spreads. …
Ram Ahluwalia's user avatar
3 votes
2 answers
2k views

Residual analysis of cross-sectional time-series forecasts

I have forecasts and actuals for panel data (i.e. time-series cross-sectional data). The forecasts are already generated and provided by some source outside of R. I'd like to evaluate the quality of t …
Ram Ahluwalia's user avatar