Variable selection, estimation and inference for multi-period forecasting problems
From MaRDI portal
Publication:738005
DOI10.1016/j.jeconom.2011.02.018zbMath1441.62837MaRDI QIDQ738005
Andreas Pick, M. Hashem Pesaran, Allan G. 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
Akaike information criterion; direct forecasts; factor- augmented VARs; iterated forecasts; SURE estimation
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
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