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Focused information criterion for locally misspecified vector autoregressive models

Lohmeyer, Jan; Palm, Franz C.; Reuvers, Hanno; Urbain, … - In: Econometric reviews 38 (2019) 7, pp. 763-792

Persistent link: https://www.econbiz.de/10012181357

Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models

Boswijk, Herman Peter; Cavaliere, Giuseppe; De Angelis, Luca - In: Econometric reviews 42 (2023) 9/10, pp. 725-757

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Inference for impulse response coefficients from multivariate fractionally integrated processes

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Econometric reviews 36 (2017) 1/3, pp. 60-84

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Marginal likelihood estimation with the cross-entropy method

Chan, Joshua; Eisenstat, Eric - In: Econometric reviews 34 (2015) 1/5, pp. 256-285

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The effective sample size

Berger, James O.; Bayarri, M. J.; Pericchi, Luis R. - In: Econometric reviews 33 (2014) 1/4, pp. 197-217

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Posterior odds with a generalized hyper-g-prior

George, Edward I.; Maruyama, Yuzo - In: Econometric reviews 33 (2014) 1/4, pp. 251-269

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Limit theory for VARs with mixed roots near unity

Phillips, Peter C. B.; Lee, Ji Hyung - In: Econometric reviews 34 (2015) 6/10, pp. 1035-1056

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Forecasting macroeconomic variables using neural network models and three automated model selection techniques

Kock, Anders Bredahl; Teräsvirta, Timo - In: Econometric reviews 35 (2016) 8/10, pp. 1753-1779

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Multistep forecast selection for panel data

Greenaway-McGrevy, Ryan - In: Econometric reviews 39 (2020) 4, pp. 373-406

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Semi-automatic Non-linear Model selection

Castle, Jennifer; Hendry, David - Department of Economics, Oxford University - 2013

We consider model selection for non-linear dynamic equations with more candidate variables than observations, based on a general class of non-linear-in-the-variables functions, addressing possible location shifts by impulse-indicator saturation. After an automatic search delivers a simplified...

Persistent link: https://www.econbiz.de/10011004135