Moving Average/Regression Model

From Wikiversity
Jump to navigation Jump to search

Moving average regression model

[edit | edit source]

In a moving average regression model, a variable of interest is assumed to be a weighted moving average of unobserved independent error terms; the weights in the moving average are parameters to be estimated.

Those two concepts are often confused due to their name, but while they share many similarities, they represent distinct methods and are used in very different contexts.


[edit | edit source]