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Effect of tapering on accuracy of forecasts made with stable estimators of vector autoregressive processes

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  • Zhou, YanYan
  • Roy, Anindya

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  • Zhou, YanYan & Roy, Anindya, 2006. "Effect of tapering on accuracy of forecasts made with stable estimators of vector autoregressive processes," International Journal of Forecasting, Elsevier, vol. 22(1), pages 169-180.
    • Handle: RePEc:eee:intfor:v:22:y:2006:i:1:p:169-180
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    References listed on IDEAS

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    1. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-1078, September.
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    Cited by:

    1. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.

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