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Fitting polynomial trend to time series by the method of Buys-Ballot estimators

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  • U. C. Nduka
  • S. I. Iwueze
  • E. C. Nwogu

Abstract

The statistical properties of two closed-form estimators of the parameters of the quadratic time trend model are derived. The estimators are based on the derived variables from Buys-Ballot table. The estimators are derived by assuming that error term is identically and independently distributed. However, the validity of this assumption is sometimes difficult to verify. We also study, through simulations, the impact of misspecifying the error distribution on the estimation and prediction accuracy in the quadratic time trend model. It is shown that the estimators are inconsistent in the presence of misspecification. T methods are illustrated with real-life examples.

Suggested Citation

  • U. C. Nduka & S. I. Iwueze & E. C. Nwogu, 2017. "Fitting polynomial trend to time series by the method of Buys-Ballot estimators," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(9), pages 4520-4538, May.
  • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:9:p:4520-4538
    DOI: 10.1080/03610926.2015.1085569
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