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Citations for "Multistep Prediction In Autoregressive Processes"

by Ing, Ching-Kang

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  1. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  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. 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.
  5. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  6. Guillaume Chevillon, 2007. "Direct Multi-Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, 09.
  7. Tommaso Proietti, 2016. "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 108-125.
  15. 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.
  16. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, EconWPA.
  17. 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.
  18. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  19. White, Halbert, 2006. "Time-series estimation of the effects of natural experiments," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 527-566.
  20. 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.
  21. repec:wyi:journl:002063 is not listed on IDEAS
  22. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.
  23. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
  24. Matthias Burgert & Stephane Dees, 2009. "Forecasting World Trade: Direct Versus “Bottom-Up” Approaches," Open Economies Review, Springer, vol. 20(3), pages 385-402, July.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
  30. 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.
  31. Dées, Stéphane & Burgert, Matthias, 2008. "Forecasting world trade: direct versus "bottom-up" approaches," Working Paper Series 882, European Central Bank.
  32. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.
  33. 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.
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