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Prediction of the future events. It is a special case of [prediction], in the context of [time-series].
5
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2
answers
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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 …
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. …
3
votes
2
answers
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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 …