Variable selection, estimation and inference for multi-period forecasting problems

DOI10.1016/j.jeconom.2011.02.018zbMath1441.62837OpenAlexW2147739825MaRDI QIDQ738005

Andreas Pick, M. Hashem Pesaran, Allan G. Timmermann

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.02.018

zbMATH Keywords

Akaike information criteriondirect forecastsfactor- augmented VARsiterated forecastsSURE estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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