Evaluating panel data forecasts under independent realization

DOI10.1016/J.JMVA.2015.01.004zbMATH Open1308.62171OpenAlexW2015493434MaRDI QIDQ2018600FDOQ2018600

Authors: Ryan Greenaway-McGrevy 

Publication date: 24 March 2015

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.01.004

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zbMATH Keywords

forecastingpanel datavector autoregressionindependent realizationsame-sample realization

Mathematics Subject Classification ID

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

Cites Work

• Biases in Dynamic Models with Fixed Effects
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• Properties of Predictors in Misspecified Autoregressive Time Series Models
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• A note on mean-squared prediction errors of the least squares predictors in random walk models
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• MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES
• Discrete orthogonal polynomials on equidistant nodes
• Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications

Cited In (5)

• Order selection for possibly infinite-order non-stationary time series
• ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING
• Multistep forecast selection for panel data
• On model selection from a finite family of possibly misspecified time series models
• On asymptotic risk of selecting models for possibly nonstationary time-series

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