Model selection for multiperiod forecasts

DOI10.1093/BIOMET/83.4.861MaRDI QIDQ4364948zbMATH OpenOpenAlexFDO

Authors Shu-ing Liu

Publication date 18 November 1997

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/83.4.861

zbMATH Keywords

autoregressive modelBayesian informationFisher informationmodel selectionmultiperiod forecastsmultivariate regression analysisorder selectionsimulations

Mathematics Subject Classification ID

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

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(11)

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