Multistep prediction in autoregressive processes
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Cites work
- A note on mean-squared prediction errors of the least squares predictors in random walk models
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Cited in
(37)- Evaluating panel data forecasts under independent realization
- Model averaging multistep prediction in an infinite order autoregressive process
- Data-driven predictions of the Lorenz system
- Inference and model selection in general causal time series with exogenous covariates
- A benchmark model for fixed-target Arctic sea ice forecasting
- How should parameter estimation be tailored to the objective?
- Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
- VAR forecasting under misspecification
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
- Interval forecasts and parameter uncertainty
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- Time-series estimation of the effects of natural experiments
- Least-squares forecast averaging
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- Multi‐step forecasting in the presence of breaks
- Asymptotically efficient model selection for panel data forecasting
- Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems
- Forecasting time series of economic processes by model averaging across data frames of various lengths
- Multistep prediction of panel vector autoregressive processes
- Optimal multistep VAR forecast averaging
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Multistep forecast selection for panel data
- The multistep Beveridge-Nelson decomposition
- Toward optimal multistep forecasts in non-stationary autoregressions
- Depth asynchronous time delay reservoir for nonlinear time series forecasting task
- Multi-step estimators and shrinkage effect in time series models
- On model selection from a finite family of possibly misspecified time series models
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- Model averaging prediction for possibly nonstationary autoregressions
- Averaging estimators for autoregressions with a near unit root
- Variable selection, estimation and inference for multi-period forecasting problems
- A review of k-step-ahead predictors
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