Multistep ahead forecasting of vector time series
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- Tucker S. McElroy & Michael W. McCracken, 2012. "Multi-step ahead forecasting of vector time series," Working Papers 2012-060, Federal Reserve Bank of St. Louis.
References listed on IDEAS
- Nyblom, Jukka & Harvey, Andrew, 2000. "Tests Of Common Stochastic Trends," Econometric Theory, Cambridge University Press, vol. 16(02), pages 176-199, April.
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- Boubacar Mainassara, Yacouba & Francq, Christian, 2009. "Estimating structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 15141, University Library of Munich, Germany.
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"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
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- M. Ruth & K. Donaghy & P. Kirshen, 2006. "Introduction," Chapters,in: Regional Climate Change and Variability, chapter 1 Edward Elgar Publishing.
- Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series 2012-45, Board of Governors of the Federal Reserve System (U.S.).
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- Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
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