VAR forecasting under misspecification (Q265016)

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Language	Label	Description	Also known as
English	VAR forecasting under misspecification	scientific article

Statements

scholarly article

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VAR forecasting under misspecification (English)

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Frank Schorfheide

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Journal of Econometrics

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publication date

1 April 2016

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zbMATH Keywords

forecasting

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loss function estimation

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model selection

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2004.08.009

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Selection of Regressors

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Asymptotic prediction mean squared error for vector autoregressive models

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Asymptotically efficient autoregressive model selection for multistep prediction

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A Consistent Conditional Moment Test of Functional Form

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Marginal Likelihood from the Gibbs Output

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A consistent test for nonlinear out of sample predictive accuracy.

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The solution of dynamic linear rational expectations models

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Forecasting and conditional projection using realistic prior distributions

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AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.

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Corrigenda: Properties of Predictors for Autoregressive Time Series

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MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES

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On same-realization prediction in an infinite-order autoregressive process.

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Prediction of multivariate time series by autoregressive model fitting

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PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS

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Some Comments on C P

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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series

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Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates

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Asymptotics for linear processes

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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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Model selection and prediction: Normal regression

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On predictive least squares principles

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Multi-step estimation and forecasting in dynamic models

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Identifiers

zbMATH Open document ID

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10.1016/j.jeconom.2004.08.009

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:265016

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