Forecasting with a parsimonious subset VAR model

DOI10.1016/J.ECONLET.2014.08.027MaRDI QIDQ2345142zbMATH OpenOpenAlexFDO

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

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)

Recommendations

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Cites work

• scientific article; zbMATH DE number 811061 (Why is no real title available?)
• A new look at the statistical model identification
• Dynamic Econometrics
• Estimating the dimension of a model
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• The solution of dynamic linear rational expectations models

Cited in

(5)

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

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