Multi-step forecasting with large vector autoregressions
Year of publication: |
2022
|
---|---|
Authors: | Pick, Andreas ; Carpay, Matthijs |
Published in: |
Essays in honor of M. Hashem Pesaran : prediction and macro modeling. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-80262-063-4. - 2022, p. 73-98
|
Subject: | Multi-step forecasting | VAR | dimension reduction | densityforecasting | time varying parameters | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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