On the selection of forecasting models

DOI10.1016/j.jeconom.2005.03.003zbMath1337.62291OpenAlexW3122065115MaRDI QIDQ274892

Atsushi Inoue, Lutz Kilian

Publication date: 25 April 2016

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

Full work available at URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp214.pdf

zbMATH Keywords

model selectionforecast accuracyinformation criteriapredictive least squaressimulated out-of-sample method

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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