On the selection of forecasting models (Q274892): Difference between revisions

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+Q3847819
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+Tests of equal forecast accuracy and encompassing for nested models
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+Predictive ability with cointegrated variables
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+Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes.
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+Counterexamples to parsimony and BIC
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+Selecting optimal multistep predictors for autoregressive processes of unknown order.
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+Robust out-of-sample inference
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+An Asymtotic Theory of Bayesian Inference for Time Series
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+Stochastic complexity and modeling
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+Estimating the dimension of a model
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+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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+An optimal selection of regression variables
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+Information criteria for selecting possibly misspecified parametric models
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+On predictive least squares principles
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+Asymptotic Inference about Predictive Ability
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