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Citations for "Multistep Prediction In Autoregressive Processes"

by Ing, Ching-Kang

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  1. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.
  2. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
  3. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2006. "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 499-526.
  4. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
  5. Chevillon, Guillaume & Hendry, David F., 2005. "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 21(2), pages 201-218.
  6. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
  7. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  8. Guillaume Chevillon, 2007. "Direct Multi-Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, 09.
  9. Tommaso Proietti, 2016. "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
  10. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
  11. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
  12. Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," BORRADORES DE ECONOMIA 004247, BANCO DE LA REPÚBLICA.
  13. Matthias Burgert & Stephane Dees, 2009. "Forecasting World Trade: Direct Versus “Bottom-Up” Approaches," Open Economies Review, Springer, vol. 20(3), pages 385-402, July.
  14. Nicholas Apergis & Panagiotis G. Artikis, 2016. "Foreign Exchange Risk, Equity Risk Factors and Economic Growth," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 425-445, December.
  15. Thomas Flavin & Ekaterini Panopoulou & Theologos Pantelidis, 2009. "Forecasting growth and inflation in an enlarged euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 405-425.
  16. Alfred A. Haug & Christie Smith, 2012. "Local Linear Impulse Responses for a Small Open Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 470-492, 06.
  17. Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011. "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, vol. 164(1), pages 173-187, September.
  18. Euler Pereira G. de Mello & Francisco Marcos R. Figueiredo, 2014. "Assessing the Short-term Forecasting Power of Confidence Indices," Working Papers Series 371, Central Bank of Brazil, Research Department.
  19. Pesaran, M Hashem & Pick, Andreas & Timmermann, Allan G, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CEPR Discussion Papers 7139, C.E.P.R. Discussion Papers.
  20. Ing, Ching-Kang & Wei, Ching-Zong, 2003. "On same-realization prediction in an infinite-order autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 130-155, April.
  21. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
  22. Chudik, Alexander & Grossman, Valerie & Pesaran, M. Hashem, 2016. "A multi-country approach to forecasting output growth using PMIs," Journal of Econometrics, Elsevier, vol. 192(2), pages 349-365.
  23. Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 108-125.
  24. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
  25. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.
  26. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, EconWPA.
  27. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  28. White, Halbert, 2006. "Time-series estimation of the effects of natural experiments," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 527-566.
  29. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
  30. repec:wyi:journl:002063 is not listed on IDEAS
  31. Wu, Jyh-Lin & Lee, Chingnun & Wang, Tzu-Wei, 2011. "A re-examination on dissecting the purchasing power parity puzzle," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 572-586, April.
  32. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
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