Evaluating the Accuracy of Forecasts from Vector Autoregressions

DOI10.1108/S0731-9053(2013)0000031004zbMath1443.62299OpenAlexW2912000522MaRDI QIDQ3295726

Todd E. Clark, Michael W. McCracken

Publication date: 10 July 2020

Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1108/s0731-9053(2013)0000031004

zbMATH Keywords

predictionforecastingout-of-sample

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

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