Asymptotically efficient model selection for panel data forecasting

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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Cites work

AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
Asymptotic properties of a robust variance matrix estimator for panel data when T is large
Asymptotically efficient autoregressive model selection for multistep prediction
Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
Bias in dynamic panel models under time series misspecification
Bias reduction for dynamic nonlinear panel models with fixed effects
Biases in Dynamic Models with Fixed Effects
Comparison of forecast performance for homogeneous, heterogeneous and shrinkage estimators: some empirical evidence from US electricity and natural-gas consumption.
Discrete orthogonal polynomials on equidistant nodes
Evaluating panel data forecasts under independent realization
scientific article; zbMATH DE number 3765004 (Why is no real title available?)
scientific article; zbMATH DE number 1034046 (Why is no real title available?)
scientific article; zbMATH DE number 777876 (Why is no real title available?)
Lag length selection in panel autoregression
Model selection and prediction: Normal regression
Model selection in the presence of incidental parameters
Multistep prediction in autoregressive processes
Multistep prediction of panel vector autoregressive processes
On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
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ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
Order selection for same-realization predictions in autoregressive processes
Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline
Prediction from the regression model with one-way error components
Prediction in the context of the variance-components model
Properties of Predictors for Autoregressive Time Series
Properties of Predictors in Misspecified Autoregressive Time Series Models
Some Comments on C P
Statistical predictor identification
The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
VAR forecasting under misspecification
Weak and strong cross-section dependence and estimation of large panels

Cited in

(7)

Non-asymptotic tests of model performance
Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance
Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
A predictive approach for selection of diffusion index models
Multistep forecast selection for panel data
On asymptotic risk of selecting models for possibly nonstationary time-series
Panel data nowcasting

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