VAR forecasting under misspecification
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Publication:265016
DOI10.1016/J.JECONOM.2004.08.009zbMATH Open1337.62296OpenAlexW2044401380MaRDI QIDQ265016FDOQ265016
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Cited in
(38)- Multistep forecast selection for panel data
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- Multistep prediction of panel vector autoregressive processes
- Order selection for possibly infinite-order non-stationary time series
- Asymptotically efficient model selection for panel data forecasting
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Combining forecasts based on multiple encompassing tests in a macroeconomic core system
- Model averaging, asymptotic risk, and regressor groups
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
- Model selection for integrated autoregressive processes of infinite order
- On robust forecasting in dynamic vector time series models
- Simulation Study on Variance of Forecast Error for Vector Arima Models
- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- Moment bounds and mean squared prediction errors of long-memory time series
- We modeled long memory with just one lag!
- Forecast mean squared error reduction in the VAR(1) process
- A new approach to multi-step forecasting using dynamic stochastic general equilibrium models
- Evaluating panel data forecasts under independent realization
- Multi-step estimation and forecasting in dynamic models
- On model selection from a finite family of possibly misspecified time series models
- Order selection for same-realization predictions in autoregressive processes
- Inference in dynamic discrete choice problems under local misspecification
- Forecasting with specification-switching VARs
- Focused information criterion for locally misspecified vector autoregressive models
- How should parameter estimation be tailored to the objective?
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- Panel data nowcasting
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
- Multistep ahead forecasting of vector time series
- Variable selection, estimation and inference for multi-period forecasting problems
- Multi‐step forecasting in the presence of breaks
- Evaluating Direct Multistep Forecasts
- Optimal multistep VAR forecast averaging
- Forecasting with a panel Tobit model
- What does the yield curve tell us about GDP growth?
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting
- Local projections vs. VARs: lessons from thousands of DGPs
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