Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data

DOI10.1007/s10182-010-0150-1zbMath1477.62371OpenAlexW2021553440MaRDI QIDQ2006892

Helmut Herwartz

Publication date: 12 October 2020

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-010-0150-1

zbMATH Keywords

model selectionforecastingspecification testingLagrange multiplier tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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