Prediction of multivariate time series by autoregressive model fitting

DOI10.1016/0047-259X(85)90027-2zbMATH Open0579.62085OpenAlexW2074942959MaRDI QIDQ1067337FDOQ1067337

Authors: Gregory C. Reinsel, Richard A. Lewis 

Publication date: 1985

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(85)90027-2

Recommendations

• Prediction mean square error for non-stationary multivariate time series using estimated parameters
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
• scientific article; zbMATH DE number 1747151
• On Asymptotic Prediction Problems for Multivariate Autoregressive Models in the Unstable Nonexplosive Case
• scientific article; zbMATH DE number 3898069

zbMATH Keywords

consistencytime seriesasymptoticmultivariate time seriesautoregressionlinear predictionnormalityinfiniteautoregressive model fittingmean square prediction errorstationary vector series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• Approximation Theorems of Mathematical Statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Consistent autoregressive spectral estimates
• Asymptotic prediction mean squared error for vector autoregressive models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Statistical predictor identification
• On Stochastic Limit and Order Relationships
• Linear prediction by autoregressive model fitting in the time domain
• Predictions of multivariate autoregressive-moving average models
• Power spectrum estimation through autoregressive model fitting
• Some recent advances in time series modeling
• On the error of prediction of a time series
• Autoregressive model fitting for control
• The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model
• CONVERGENCE OF LEAST SQUARES ESTIMATES OF AUTOREGRESSIVE PARAMETERS1

Cited In (89)

• Generalized Least Squares Model Averaging
• Some facts about the choice of the weighting matrices in Larimore type of subspace algorithms
• ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
• Bootstrapping impulse responses in VAR analyses
• VAR forecasting under misspecification
• NONPARAMETRIC PREDICTION WITH SPATIAL DATA
• ESTIMATION OF THE PREDICTION ERROR VARIANCE AND AN R²MEASURE BY AUTOREGRESSIVE MODEL FITTING
• Understanding the effect of technology shocks in SVARs with long-run restrictions
• Nonparametric estimation of dynamic panel models with fixed effects
• Moving-average representation of autoregressive approximations
• Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es
• ON SOME AMBIGUITIES ASSOCIATED WITH THE FITTING OF ARMA MODELS TO TIME SERIES
• Title not available (Why is that?)
• Asymptotically efficient autoregressive model selection for multistep prediction
• Parameter Estimation for Periodically Stationary Time Series
• A justification of conditional confidence intervals
• A Review of Nonparametric Time Series Analysis
• Model averaging based on leave-subject-out cross-validation for vector autoregressions
• Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes
• Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
• Autoregressive model selection for multistep prediction
• Evaluating panel data forecasts under independent realization
• (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
• Testing for \(r\) versus \(r-1\) cointegrating vectors
• Portmanteau tests for linearity of stationary time series
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Testing for unit roots in bounded time series
• A non‐parametric test for multi‐variate trend functions
• Departure from normality of increasing-dimension martingales
• A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
• Forward and reversed time prediction of autoregressive sequences
• Cointegration analysis with state space models
• Convergence rates for inverse Toeplitz matrix forms
• Testing for Granger causality with mixed frequency data
• Estimation of a multiplicative correlation structure in the large dimensional case
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• High‐dimensional sparse multivariate stochastic volatility models
• Sieve-based inference for infinite-variance linear processes
• Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences
• Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
• Title not available (Why is that?)
• Testing cointegration in infinite order vector autoregressive processes
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• Inference on a regression model with noised variables and serially correlated errors
• Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions
• Adaptive estimation of AR(\(\infty\)) models with time-varying variances
• Monetary policy and long-run systemic risk-taking
• LONG MEMORY TESTING IN THE TIME DOMAIN
• Impulse response analysis in infinite order cointegrated vector autoregressive processes
• Measuring the Advantages of Multivariate vs. Univariate Forecasts
• DCA-based real-time residual useful life prediction for critical faulty component
• CHALLENGES FOR ECONOMETRIC MODEL SELECTION
• Semiparametric sieve-type generalized least squares inference
• AUTOMATIC INFERENCE FOR INFINITE ORDER VECTOR AUTOREGRESSIONS
• Short and long run causality measures: theory and inference
• Prediction of long memory processes on same-realisation
• Kernel-weighted GMM estimators for linear time series models
• Persistence-robust surplus-lag Granger causality testing
• A modified information criterion for cointegration tests based on a VAR approximation
• PREDICTION ERROR OF MULTIVARIATE TIME SERIES WITH MIS-SPECIFIED MODELS
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE MODELS VIA HIGH-ORDER AUTOREGRESSIVE APPROXIMATIONS
• The relation of the CCA subspace method to a balanced reduction of an autoregressive model.
• Uncertain vector autoregressive model with imprecise observations
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models
• Autoregressive prediction with rolling mechanism for time series forecasting with small sample size
• Model selection criteria for the leads-and-lags cointegrating regression
• Linear prediction of long-range dependent time series
• Bounded unit root processes with non-stationary volatility
• Focused information criterion for locally misspecified vector autoregressive models
• On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
• Title not available (Why is that?)
• Optimal multistep VAR forecast averaging
• Innovations algorithm asymptotics for periodically stationary time series with heavy tails
• Local projections, autocorrelation, and efficiency
• On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Asymptotic Properties of the ISE in Nonparametric Regressions with Serially Correlated Errors
• The co-integrated vector autoregression with errors-in-variables
• Projection Pursuit Autoregression in Time Series
• Forecasting with Multivariate Threshold Autoregressive Models
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
• A practical multivariate approach to testing volatility spillover
• Bayesian flexible local projections
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• Unit roots in white noise
• Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain
• Linear bootstrap methods for vector autoregressive moving-average models

This page was built for publication: Prediction of multivariate time series by autoregressive model fitting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1067337)