Multistep ahead forecasting of vector time series

DOI10.1080/07474938.2014.977088MaRDI QIDQ5864446zbMATH OpenOpenAlexFDO

Authors Michael W. McCracken, Tucker S. McElroy

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://research.stlouisfed.org/wp/2012/2012-060.pdf

zbMATH Keywords

multivariate time seriesfrequency domainVAR modelsEuro areafertility rateshousing starts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Forecasting and testing in co-integrated systems
• Forecasting cointegrated nonstationary time series with time-varying variance
• Forecasting cointegrated VARMA processes
• scientific article; zbMATH DE number 4047369
• scientific article; zbMATH DE number 5035829

Cites work

• scientific article; zbMATH DE number 4147357 (Why is no real title available?)
• scientific article; zbMATH DE number 472948 (Why is no real title available?)
• An exponential model for the spectrum of a scalar time series
• Asymptotic theory of statistical inference for time series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Computationally efficient methods for two multivariate fractionally integrated models
• Elements of multivariate time series analysis.
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• Fast Bayesian estimation for VARFIMA processes with stable errors
• Forecasting aggregated vector ARMA processes
• New introduction to multiple time series analysis.
• Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
• On the computation of autocovariances for generalized Gegenbauer processes
• Selection between models through multi-step-ahead forecasting
• Signal extraction from nonstationary time series
• State space modeling of long-memory processes
• TESTS OF COMMON STOCHASTIC TRENDS
• Testing for Common Trends
• Time series: theory and methods.
• VAR forecasting under misspecification

Cited in

(3)

• scientific article; zbMATH DE number 5035829 (Why is no real title available?)
• Nonlinear prediction via Hermite transformation
• A review of k-step-ahead predictors

This page was built for publication: Multistep ahead forecasting of vector time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864446)