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Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model

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  • Ioannis Vlachos
  • Dimitris Kugiumtzis

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  • Ioannis Vlachos & Dimitris Kugiumtzis, 2013. "Backward‐in‐Time Selection of the Order of Dynamic Regression Prediction Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 685-701, December.
    • Handle: RePEc:wly:jforec:v:32:y:2013:i:8:p:685-701
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    File URL: http://hdl.handle.net/10.1002/for.2265
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    Cited by:

    1. Christophe Chorro & Emmanuelle Jay & Philippe de Peretti & Thibault Soler, 2021. "Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03216938, HAL.
    2. Geng, Jiang-Bo & Chen, Fu-Rui & Ji, Qiang & Liu, Bing-Yue, 2021. "Network connectedness between natural gas markets, uncertainty and stock markets," Energy Economics, Elsevier, vol. 95(C).
    3. Christophe Chorro & Emmanuelle Jay & Philippe de Peretti & Thibault Soler, 2021. "Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems," Post-Print halshs-03216938, HAL.
    4. Christophe Chorro & Emmanuelle Jay & Philippe De Peretti & Thibault Soler, 2021. "Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems," Documents de travail du Centre d'Economie de la Sorbonne 21013, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

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