Forecasting with a noncausal VAR model-Reference-Cited by-同舟云学术

Forecasting with a noncausal VAR model

Published:2014-08 Issue: Volume:76 Page:536-555
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Nyberg Henri,Saikkonen Pentti

Funder

Academy of Finland

OP-Pohjola Group Research Foundation

Yrjö Jahnsson Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference21 articles.

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

2. Maximum likelihood estimation for noncausal autoregressive processes;Breidt;Journal of Multivariate Analysis,1991

3. Best mean square prediction for moving averages;Breidt;Statistica Sinica,2005

4. G-7 inflation forecasts: random walk, Phillips curve or what else?;Canova;Macroeconomic Dynamics,2007

5. Davis, R., Song, L., 2010. Noncausal vector AR processes with application to financial time series. Unpublished Manuscript, Columbia University, New York.

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