Asymptotic prediction mean squared error for vector autoregressive models

DOI10.1093/BIOMET/66.3.675MaRDI QIDQ3206174zbMATHOpenAlexFDO

Authors Richard T. Baillie

Publication date 1979

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/66.3.675

zbMATH Keywords

regression modelmultivariate time seriesautoregressive modelmultistep predictionasymptotic prediction mean squared error

Mathematics Subject Classification ID

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

Cited in

(14)

• Estimation and simulation of autoregressive Hilbertian processes with exogenous variables
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• Prediction of multivariate time series by autoregressive model fitting
• On robust forecasting in dynamic vector time series models
• Mean square prediction error for long-memory processes
• Simulation Study on Variance of Forecast Error for Vector Arima Models
• Evaluating panel data forecasts under independent realization
• Predictive, finite-sample model choice for time series under stationarity and non-stationarity
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• Heavy-tailed prediction error: a difficulty in predicting biomedical signals of \(1/f\) noise type
• Model averaging for asymptotically optimal combined forecasts
• VAR forecasting under misspecification
• Prediction mean square error for non-stationary multivariate time series using estimated parameters
• Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung

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