USE OF THE TREND-FACTOR MODEL TO IMPROVE THE ACCURACY FORECASTS

• Main Authors: Irina V. Orlova, Viktor B. Turundaevsky
• Format: Article
• Language: Russian
• Published: Plekhanov Russian University of Economics 2016-08-01
• Series: Statistika i Èkonomika
• Subjects: временные ряды; тренд; множественная регрессия; блочные матрицы; дисперсия остатков; time series; trend; multipleregression; block matrix; the variance ofresiduals
• Online Access: https://statecon.rea.ru/jour/article/view/758
• ISSN: 2500-3925

In this paper we propose a method toimprove the accuracy of the trend-factormodel on the assumption that the increasein endogenous variable-screens dependnot only on time but also deviations fromtheir trend of exogenous variables, provedby the corresponding formulas that reflect the structure of the dispersion, these remnants of the trend-factor model.