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

DOI10.1016/J.JECONOM.2011.02.018zbMATH Open1441.62837OpenAlexW2147739825MaRDI QIDQ738005FDOQ738005

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

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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)

Cites Work

• Forecasting Using Principal Components From a Large Number of Predictors
• Determining the Number of Factors in Approximate Factor Models
• The Generalized Dynamic Factor Model
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Tests of Conditional Predictive Ability
• VAR forecasting under misspecification
• Small sample properties of forecasts from autoregressive models under structural breaks
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES
• Forecasting Economic Time Series
• Title not available (Why is that?)
• Title not available (Why is that?)
• Finite Sample Econometrics
• Measures of Deterministic Prediction Bias in Nonlinear Models
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution

Cited In (11)

• Predicting the yield curve using forecast combinations
• Optimal forecasts in the presence of structural breaks
• OPTIMAL MULTISTEP VAR FORECAST AVERAGING
• Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
• Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
• Multi‐step forecasting in the presence of breaks
• Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
• A measure of multivariate kurtosis for the identification of the dynamics of a \(N\)-dimensional market
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Does modeling a structural break improve forecast accuracy?

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