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.
- 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.
- West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
- Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
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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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