Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series
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References listed on IDEAS
- Hansen M. H & Yu B., 2001. "Model Selection and the Principle of Minimum Description Length," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 746-774, June.
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- Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, pages 99-136.
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- Hansen, Bruce E., 2008.
"Least-squares forecast averaging,"
Journal of Econometrics,
Elsevier, pages 342-350.
- Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.).
More about this item
KeywordsAccumulated prediction errors; Asymptotic equivalence; Asymptotic efficiency; Information criterion; Order selection; Optimal forecasting;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
- NEP-ECM-2005-04-16 (Econometrics)
- NEP-ETS-2005-04-16 (Econometric Time Series)
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