Variable selection, estimation and inference for multi-period forecasting problems (Q738005): Difference between revisions

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+Determining the Number of Factors in Approximate Factor Models
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+FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
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+Q5317345
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+Measures of Deterministic Prediction Bias in Nonlinear Models
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+Forecasting Economic Time Series
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+Q5343942
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+The Generalized Dynamic Factor Model
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+Tests of Conditional Predictive Ability
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+The exact multi-period mean-square forecast error for the first-order autoregressive model
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+MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES
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+A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Small sample properties of forecasts from autoregressive models under structural breaks
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+VAR forecasting under misspecification
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Finite Sample Econometrics
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