Forecasting time series with common seasonal patterns (with discussion)

DOI10.1016/0304-4076(93)90010-3zbMath0761.62125OpenAlexW2161834340WikidataQ60147661 ScholiaQ60147661MaRDI QIDQ1203075

Fabio Canova

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90010-3

zbMATH Keywords

forecastingBayesian autoregressionuncertain linear restrictions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• Seasonal integration and cointegration
• On models and methods for Bayesian time series analysis
• Estimating the dimension of a model
• Fully Bayesian analysis of ARMA time series models
• Sampling-Based Approaches to Calculating Marginal Densities
• Testing for Common Trends
• Predicting a Multitude of Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting and conditional projection using realistic prior distributions
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
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