Asymptotically efficient model selection for panel data forecasting

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
Asymptotic properties of a robust variance matrix estimator for panel data when T is large
Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both n and T Are Large
Asymptotically efficient autoregressive model selection for multistep prediction
Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence
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Biases in Dynamic Models with Fixed Effects
Comparison of forecast performance for homogeneous, heterogeneous and shrinkage estimators: some empirical evidence from US electricity and natural-gas consumption.
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Lag length selection in panel autoregression
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Pooled estimators vs. their heterogeneous counterparts in the context of dynamic demand for gasoline
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Properties of Predictors in Misspecified Autoregressive Time Series Models
Some Comments on C P
Statistical predictor identification
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Cited in

(7)

Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance
Multistep forecast selection for panel data
Panel data nowcasting
Non-asymptotic tests of model performance
On asymptotic risk of selecting models for possibly nonstationary time-series
A predictive approach for selection of diffusion index models

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