How should parameter estimation be tailored to the objective?

DOI10.1016/j.jeconom.2020.12.014OpenAlexW3190642107MaRDI QIDQ2172021

Peter Reinhard Hansen, Elena Dumitrescu

Publication date: 14 September 2022

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.12.014

zbMATH Keywords

estimationmodel selectionLinEx lossmultistep forecasting

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Model averaging for asymptotically optimal combined forecasts

Cites Work

• VAR forecasting under misspecification
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES
• Prediction with a Generalized Cost of Error Function
• Robust Statistics
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