Evaluating panel data forecasts under independent realization

DOI10.1016/J.JMVA.2015.01.004MaRDI QIDQ2018600zbMATHOpenAlexFDO

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

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)

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Cites work

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Cited in

(5)

• Multistep forecast selection for panel data
• Order selection for possibly infinite-order non-stationary time series
• Asymptotically efficient model selection for panel data forecasting
• 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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