Variable selection, estimation and inference for multi-period forecasting problems

DOI10.1016/J.JECONOM.2011.02.018MaRDI QIDQ738005zbMATH OpenOpenAlexFDO

Authors M. Hashem Pesaran, Andreas Pick, Allan Timmermann

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.02.018

zbMATH Keywords

Akaike information criteriondirect forecastsfactor- augmented VARsiterated forecastsSURE estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 2206038 (Why is no real title available?)
• scientific article; zbMATH DE number 3216810 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Determining the Number of Factors in Approximate Factor Models
• Finite Sample Econometrics
• Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution
• Forecasting Economic Time Series
• Forecasting Using Principal Components From a Large Number of Predictors
• Measures of Deterministic Prediction Bias in Nonlinear Models
• Multistep prediction in autoregressive processes
• Small sample properties of forecasts from autoregressive models under structural breaks
• Tests of Conditional Predictive Ability
• The Generalized Dynamic Factor Model
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• VAR forecasting under misspecification

Cited in

(14)

• Predicting the yield curve using forecast combinations
• Optimal forecasts in the presence of structural breaks
• Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
• When are direct multi-step and iterative forecasts identical?
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
• Multistep forecast selection for panel data
• Optimal multistep VAR forecast averaging
• Keep it simple: on specific-to-general predictor selection for time series forecasting in the short, medium and long run
• Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
• Multi‐step forecasting in the presence of breaks
• A measure of multivariate kurtosis for the identification of the dynamics of a N-dimensional market
• Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Does modeling a structural break improve forecast accuracy?

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