Variable selection, estimation and inference for multi-period forecasting problems-Reference-Cited by-同舟云学术

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

Published:2011-09 Issue:1 Volume:164 Page:173-187
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Pesaran M. Hashem,Pick Andreas,Timmermann Allan

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference23 articles.

1. VARMA versus VAR for macroeconomic forecasting;Athanasopoulos;Journal of Business and Economic Statistics,2008

2. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

3. Boosting diffusion indices;Bai;Journal of Applied Econometrics,2009

4. Finite sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution;Bao;Econometric Theory,2007

5. Measuring the effect of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach;Bernanke;Quarterly Journal of Economics,2005

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4. Forecasting with Bayesian vector autoregressive models: comparison of direct and iterated multistep methods;Asian Journal of Economics and Banking;2022-06-06

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