The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting

DOI10.1080/03610918908812771MaRDI QIDQ3471565zbMATH OpenOpenAlexFDO

Authors Ken Hung, Frank B. Alt

Publication date 1989

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918908812771

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Evaluating the Accuracy of Forecasts from Vector Autoregressions
• The specification of vector autoregressive moving average models
• VAR forecasting under misspecification
• ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION

Cites work

• Effects of not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction-1
• Fitting autoregressive models for prediction
• Modeling Multiple Times Series with Applications
• Parsimony and Its Importance in Time Series Forecasting

Cited in

(1)

• Simulation Study on Variance of Forecast Error for Vector Arima Models

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