Forecasting with a parsimonious subset VAR model

DOI10.1016/J.ECONLET.2014.08.027zbMATH Open1311.62161OpenAlexW2052323256MaRDI QIDQ2345142FDOQ2345142

Authors: Chongcheul Cheong, Hyun Chul Lee 

Publication date: 19 May 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.08.027

Recommendations

• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Subset selection for vector autoregressive processes via adaptive Lasso
• Efficient strategies for deriving the subset VAR models
• Forecast mean squared error reduction in the VAR(1) process
• Forecasting in vector autoregressions with many predictors

zbMATH Keywords

model selectionprediction errorunit \(t\)-value criterion

Mathematics Subject Classification ID

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

Cites Work

• Estimating the dimension of a model
• A new look at the statistical model identification
• The solution of dynamic linear rational expectations models
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• Dynamic Econometrics
• Title not available (Why is that?)

Cited In (5)

• Beating the VAR: improving Swedish GDP forecasts using error and intercept corrections
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE
• Forecast mean squared error reduction in the VAR(1) process
• THE RECURSIVE FITTING OF SUBSET VARX MODELS

This page was built for publication: Forecasting with a parsimonious subset VAR model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2345142)