Empirical Information Criteria for Time Series Forecasting Model Selection
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kolassa, Stephan, 2011. "Combining exponential smoothing forecasts using Akaike weights," International Journal of Forecasting, Elsevier, vol. 27(2), pages 238-251, April.
- Alysha M De Livera, 2010. "Automatic forecasting with a modified exponential smoothing state space framework," Monash Econometrics and Business Statistics Working Papers 10/10, Monash University, Department of Econometrics and Business Statistics.
- Taylor, James W., 2008. "Exponentially weighted information criteria for selecting among forecasting models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 513-524.
More about this item
KeywordsExponential smoothing; forecasting; information criteria; M3 competition; model selection.;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-02-10 (All new papers)
- NEP-ECM-2003-02-15 (Econometrics)
- NEP-ETS-2003-02-10 (Econometric Time Series)
- NEP-PKE-2003-02-10 (Post Keynesian Economics)
- NEP-RMG-2003-02-10 (Risk Management)
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