VAR forecasting under misspecification
- 1 September 2005
- journal article
- Published by Elsevier in Journal of Econometrics
- Vol. 128 (1) , 99-136
- https://doi.org/10.1016/j.jeconom.2004.08.009
Abstract
No abstract availableKeywords
This publication has 37 references indexed in Scilit:
- A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time SeriesSSRN Electronic Journal, 2005
- NUMERICAL METHODS FOR ESTIMATION AND INFERENCE IN BAYESIAN VAR-MODELSJournal of Applied Econometrics, 1997
- Optimal Prediction Under Asymmetric LossEconometric Theory, 1997
- Some advances in non‐linear and adaptive modelling in time‐seriesJournal of Forecasting, 1994
- Comment: Adaptive ForecastingJournal of Business & Economic Statistics, 1993
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth ratesJournal of Econometrics, 1993
- Asymptotics for Linear ProcessesThe Annals of Statistics, 1992
- Multi-step estimation and forecasting in dynamic modelsJournal of Econometrics, 1991
- Stochastic Complexity and ModelingThe Annals of Statistics, 1986
- Estimating the Dimension of a ModelThe Annals of Statistics, 1978