What Estimator should I use Least Squares, Least Extended Square ?

I need a good estimator to very short term load forecast.

[Jan]

It depends on the exact meaning of "good" and "short" as well as on the model. Please explain any details.

Answer 1

[Shashank Prasanna]

Extended Least Squares allows for a variance model. Do you have a reason to specify a variance model? then you can use the ELS method to estimate it. If not you can just use OLS. Depends on how your data is and what is an "acceptable" fit for your application.

Answer 2

[Isabelle Meireles]

I'm make a predict with NLARX of a linear model. It's a short load forescast and I like to know which is the better estimator for this.