Evaluating panel data forecasts under independent realization

DOI10.1016/j.jmva.2015.01.004zbMath1308.62171OpenAlexW2015493434MaRDI QIDQ2018600

Ryan Greenaway-McGrevy

Publication date: 24 March 2015

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.01.004

zbMATH Keywords

panel dataforecastingvector autoregressionindependent realizationsame-sample realization

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

On model selection from a finite family of possibly misspecified time series models ⋮ ASYMPTOTICALLY EFFICIENT MODEL SELECTION FOR PANEL DATA FORECASTING ⋮ Order selection for possibly infinite-order non-stationary time series ⋮ Multistep forecast selection for panel data ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series

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