Forecast mean squared error reductionin the VAR(1) process

DOI10.1080/02664760802715898OpenAlexW2042799085MaRDI QIDQ5123431

J. Fredrik Lindström, H. E. T. Holgersson

Publication date: 28 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802715898

zbMATH Keywords

prediction errorpre-testVAR modelslinear hypothesisselection criteria

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• bootlib

Cites Work

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• Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model
• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• A new look at the statistical model identification

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