R 2 Bounds for Predictive Models: What Univariate Properties Tell us About Multivariate Predictability

DOI10.1080/07350015.2017.1415909MaRDI QIDQ6634898zbMATH OpenFDO

Authors James Mitchell, Donald Robertson, Stephen E. Wright

Publication date 8 November 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Forecasting Using Principal Components From a Large Number of Predictors
• Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Methods for applied macroeconomic research.
• Multiple Time Series Analysis and the Final Form of Econometric Models
• Studying co-movements in large multivariate data prior to multivariate modelling
• Time series analysis and simultaneous equation econometric models
• Unobserved components and time series econometrics
• VAR analysis, nonfundamental representations, Blaschke matrices

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