Focused information criterion for locally misspecified vector autoregressive models

DOI10.1080/07474938.2017.1409410zbMath1490.62260OpenAlexW2772971002MaRDI QIDQ5860943

Franz C. Palm, Jean-Pierre Urbain, Jan Lohmeyer, Hanno Reuvers

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2017.1409410

zbMATH Keywords

model selectionlocal misspecificationmodel uncertaintyimpulse responsesfrequentist model averagingvector autoregressive modelsfocused information criteria

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Optimal model averaging based on forward-validation

Cites Work

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