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Asymptotically efficient autoregressive model selection for multistep prediction

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Author Info
R. Bhansali
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File URL: http://hdl.handle.net/10.1007/BF00050857
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Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 48 (1996)
Issue (Month): 3 (September)
Pages: 577-602
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Handle: RePEc:spr:aistmt:v:48:y:1996:i:3:p:577-602

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Related research
Keywords: AIC; FPE; order determination; time series;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Weiss, Andrew A., 1991. "Multi-step estimation and forecasting in dynamic models," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 135-149. [Downloadable!] (restricted)
  2. Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-64, July.
  3. Lewis, Richard & Reinsel, Gregory C., 1985. "Prediction of multivariate time series by autoregressive model fitting," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 393-411, June. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics. [Downloadable!]
  2. Guillaume Chevillon & David Hendry, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
  3. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, . "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  4. Guillaume Chevillon, 2005. "Direct multi-step estimation and forecasting," Documents de Travail de l'OFCE 2005-10, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
    Other versions:
  5. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March. [Downloadable!]
  6. Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany, revised 01 Apr 2009. [Downloadable!]
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