Evaluating the Accuracy of Forecasts from Vector Autoregressions

DOI10.1108/S0731-9053(2013)0000031004MaRDI QIDQ3295726zbMATH OpenOpenAlexFDO

Authors Todd E. Clark, Michael W. McCracken

Publication date 10 July 2020

Published in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-9053(2013)0000031004

zbMATH Keywords

forecastingout-of-sampleprediction

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• Forecasting in vector autoregressions with many predictors
• Assessing Prediction Error in Autoregressive Models
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• On Assessing Prediction Error in Autoregressive Models
• Conditional forecasts and uncertainty about forecast revisions in vector autoregressions

Cited in

(5)

• The reproducible properties of correct forecasts
• The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting
• Simulation Study on Variance of Forecast Error for Vector Arima Models
• Assessing Prediction Error in Autoregressive Models
• Conditional forecasts and uncertainty about forecast revisions in vector autoregressions

This page was built for publication: Evaluating the Accuracy of Forecasts from Vector Autoregressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3295726)