Selection between models through multi-step-ahead forecasting
type: Item
instance of: scholarly article
title: Selection between models through multi-step-ahead forecasting
zbMATH Open document ID: 1404.62089
author: Tucker S. McElroy
author: David F. Findley
published in: Journal of Statistical Planning and Inference
publication date: 2010-09-20T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62F05
zbMATH DE Number: 5788975
zbMATH Keywords: ARIMA models
zbMATH Keywords: Diebold-Mariano tests
zbMATH Keywords: incorrect models
zbMATH Keywords: misspecified models
zbMATH Keywords: model selection
zbMATH Keywords: parameter estimation effects
zbMATH Keywords: time series
describes a project that uses: itsmr
describes a project that uses: R
MaRDI profile type: Publication
full work available at URL: j.jspi.2010.04.032
OpenAlex ID: W2084043346
cites work: Signal extraction from nonstationary time series
cites work: Q4862306
cites work: Time series: theory and methods.
cites work: Introduction to Time Series and Forecasting
cites work: On the integral of the squared periodogram
cites work: Tests of equal forecast accuracy and encompassing for nested models
cites work: Evaluating Direct Multistep Forecasts
cites work: Asymptotically optimal estimation in misspecified time series models
cites work: Q4289971
cites work: Counterexamples to parsimony and BIC
cites work: Modeling of time series arrays by multistep prediction or likelihood methods.
cites work: A local spectral approach for assessing time series model misspecification
cites work: Q3663122
cites work: Foundations of time series analysis and prediction theory
cites work: Model selection tests for nonlinear dynamic models
cites work: Asymptotic theory of statistical inference for time series
cites work: Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
cites work: Asymptotic Inference about Predictive Ability
DOI: 10.1016/J.JSPI.2010.04.032
Recommended article: Model selection for multiperiod forecasts
Recommended article: On the selection of forecasting models
Recommended article: Model selection for forecasting
Recommended article: Multistep forecast selection for panel data
Recommended article: Multi-step estimation and forecasting in dynamic models
Recommended article: Autoregressive model selection for multistep prediction
description: scientific article; zbMATH DE number 5788975