Modeling of time series arrays by multistep prediction or likelihood methods.

DOI10.1016/S0304-4076(03)00139-8zbMath1033.62092MaRDI QIDQ1421317

Benedikt M. Pötscher, David F. Findley, Ching-Zong Wei

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Spectral densityConsistencyMisspecificationRegression residualsBaxter`s inequalityInfinite variance processLong memory processNonstationary modelsUniform laws of large numbers

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Related Items (5)

OPTIMALITY OF GLS FOR ONE-STEP-AHEAD FORECASTING WITH REGARIMA AND RELATED MODELS WHEN THE REGRESSION IS MISSPECIFIED ⋮ Selecting optimal multistep predictors for autoregressive processes of unknown order. ⋮ Estimating structural VARMA models with uncorrelated but non-independent error terms ⋮ Selection between models through multi-step-ahead forecasting ⋮ A conversation with David Findley

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