The DOI matches its Crossref record; 11 of the 11 references it cites were found in a registry or an index.
Optimal Properties of Exponentially Weighted Forecasts
Abstract
The exponentially weighted average can be interpreted as the expected value of a time series made up of two kinds of random components: one lasting a single time period (transitory) and the other lasting through all subsequent periods (permanent). Such a time series may, therefore, be regarded as a random walk with “noise” superimposed. It is also shown that, for this series, the best forecast for the time period immediately ahead is the best forecast for any future time period, because both give estimates of the permanent component. The estimate of the permanent component is imperfect, and so the estimate of a regression coefficient is inconsistent in a relation involving the permanent (e.g. consumption as a function of permanent income). Its bias is small, however.
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Citations
Cites
Rational Expectations and the Theory of Price Movements
Muth, J. F. (1961) · Econometrica · doi:10.2307/1909635 · Cited by 5,594
Self-citationTheory of the Consumption Function
Friedman, M. (1957) · doi:10.1515/9780691188485 · Cited by 3,335
Forecasting Sales by Exponentially Weighted Moving Averages
Winters, P. R. (1960) · Management Science · doi:10.1287/mnsc.6.3.324 · Cited by 2,108
Utility Analysis and the Consumption Function: An Interpretation of Cross-Section Data
Kurihara, K. K. (2013) · doi:10.4324/9781315016849-27 · Cited by 1,975
A Theory of the Consumption Function
Johnston, J., & Friedman, M. (1958) · The Review of Economics and Statistics · doi:10.2307/1926352 · Cited by 1,123
Planning Production, Inventories, and Work Force.
Mills, E. S., Holt, C. C., Modigliani, F., Muth, J. F., & Simon, H. A. (1962) · Journal of the American Statistical Association · doi:10.2307/2282461 · Cited by 877
Self-citationStatistical Forecasting for Inventory Control.
Davies, O. L., & Brown, R. G. (1960) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2342487 · Cited by 831
Distributed Lags and Investment Analysis
Boschan, P., & Koyck, L. M. (1956) · Econometrica · doi:10.2307/1905271 · Cited by 646
Random Processes in Automatic Control.
Parzen, E., W., W. A., Laning, J. H., & Battin, R. H. (1957) · Journal of the American Statistical Association · doi:10.2307/2280915 · Cited by 294
The Dynamics of Supply: Estimation of Farmers' Response to Price
Ladd, G. W., & Nerlove, M. (1959) · Journal of Farm Economics · doi:10.2307/1235180 · Cited by 201
Cited by
Econometric policy evaluation: A critique
Lucas, R. E. (1976) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/s0167-2231(76)80003-6 · Cited by 6,110
Trends and random walks in macroeconmic time series
Nelson, C. R., & Plosser, C. R. (1982) · Journal of Monetary Economics · doi:10.1016/0304-3932(82)90012-5 · Cited by 4,665
Forecasting Sales by Exponentially Weighted Moving Averages
Winters, P. R. (1960) · Management Science · doi:10.1287/mnsc.6.3.324 · Cited by 2,108
Forecasting Time Series With Complex Seasonal Patterns Using Exponential Smoothing
De Livera, A. M., Hyndman, R. J., & Snyder, R. D. (2011) · Journal of the American Statistical Association · doi:10.1198/jasa.2011.tm09771 · Cited by 1,049
A Theoretical Framework for Monetary Analysis
Friedman, M. (1970) · Journal of Political Economy · doi:10.1086/259623 · Cited by 992
Metadata
- Authors
- Muth, J. F.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1960-06
- Volume
- 55
- Issue
- 290
- Pages
- 299-306
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2025347948
- Cited by
- 986
- References
- 11
- FWCI
- 3.76
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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