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Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series

Author

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• Ching-Kang Ing

(Institute of Statistical Science, Academia Sinica)

Abstract

The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APE$_{\delta_{n}}$,is investigated in infinite-order autoregressive (AR($\infty$)) models. Instead of accumulating squares of sequential prediction errors from the beginning, APE$_{\delta_{n}}$ is obtained by summing these squared errors from stage $n\delta_{n}$, where $n$ is the sample size and \$0

Suggested Citation

• Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, University Library of Munich, Germany.
• Handle: RePEc:wpa:wuwpem:0503020
Note: Type of Document - pdf; pages: 50
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File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0503/0503020.pdf

References listed on IDEAS

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1. 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.
2. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
3. T. Speed & Bin Yu, 1993. "Model selection and prediction: Normal regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 35-54, March.
4. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
5. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
6. Ing, Ching-Kang, 2003. "Multistep Prediction In Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 19(2), pages 254-279, April.
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Citations

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Cited by:

1. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.

Keywords

Accumulated prediction errors; Asymptotic equivalence; Asymptotic efficiency; Information criterion; Order selection; Optimal forecasting;

JEL classification:

• 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

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