Multistep prediction of panel vector autoregressive processes

DOI10.1017/S0266466612000679MaRDI QIDQ5403108zbMATH OpenFDO

Authors Ryan Greenaway-McGrevy

Publication date 25 March 2014

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• Asymptotic distribution of factor augmented estimators for panel regression
• Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are 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
• Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
• 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.
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Inference in Linear Time Series Models with some Unit Roots
• On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
• Order selection for same-realization predictions in autoregressive processes
• Panel data models with interactive fixed effects
• Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline
• Prediction in the context of the variance-components model
• VAR forecasting under misspecification

Cited in

(7)

• Evaluating panel data forecasts under independent realization
• Multistep forecast selection for panel data
• Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications
• Panel data nowcasting
• Prior selection for panel vector autoregressions
• Asymptotically efficient model selection for panel data forecasting
• On model selection from a finite family of possibly misspecified time series models

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