Forecasting with a parsimonious subset VAR model

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

Hyun Chul Lee, Chongcheul Cheong

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)

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 (2)

• THE SEQUENTIAL ESTIMATION OF SUBSET VAR WITH FORGETTING FACTOR AND INTERCEPT VARIABLE
• THE RECURSIVE FITTING OF SUBSET VARX MODELS

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