Forecasting with a parsimonious subset VAR model

DOI10.1016/J.ECONLET.2014.08.027zbMath1311.62161OpenAlexW2052323256MaRDI QIDQ2345142

Chongcheul Cheong, Hyun Chul Lee

Publication date: 19 May 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.08.027

zbMATH Keywords

prediction errormodel selectionunit \(t\)-value criterion

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)

Cites Work

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• The solution of dynamic linear rational expectations models
• Estimating the dimension of a model
• Dynamic Econometrics
• A new look at the statistical model identification

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