Multistep forecast selection for panel data

DOI10.1080/07474938.2019.1651490MaRDI QIDQ5861003zbMATHOpenAlexFDO

Authors Ryan Greenaway-McGrevy

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2019.1651490

zbMATH Keywords

model selectionforecastingpanel datamisspecificationbias-correctionMallows criterionfinal prediction error

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)

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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
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Cited in

(6)

• Multistep prediction of panel vector autoregressive processes
• Asymptotically efficient model selection for panel data forecasting
• Selection between models through multi-step-ahead forecasting
• Evaluating panel data forecasts under independent realization
• Panel data nowcasting
• Variable selection, estimation and inference for multi-period forecasting problems

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