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When are direct multi-step and iterative forecasts identical?
McElroy, Tucker - In: Journal of forecasting 34 (2015) 4, pp. 315-336
Persistent link: https://www.econbiz.de/10011305168
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Signal extraction revision variances as a goodness-of-fit measure
McElroy, Tucker; Wildi, Marc - In: Journal of time series econometrics 2 (2010) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10009623322
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Multi-step-ahead estimation of time series models
McElroy, Tucker; Wildi, Marc - In: International journal of forecasting 29 (2013) 3, pp. 378-394
Persistent link: https://www.econbiz.de/10009787041
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Fitting constrained vector autoregression models
McElroy, Tucker; Findley, David F. - In: Empirical economic and financial research : theory, …, (pp. 451-470). 2015
Persistent link: https://www.econbiz.de/10010490084
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The algebraic structure of transformed time series
McElroy, Tucker; Pang, Osbert - In: Empirical economic and financial research : theory, …, (pp. 89-104). 2015
Persistent link: https://www.econbiz.de/10010490160
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Fixed-b asymptotics for the studentized mean from time series with short, long, or negative memory
McElroy, Tucker; Politis, Dimitris N. - In: Econometric theory 28 (2012) 2, pp. 471-481
Persistent link: https://www.econbiz.de/10009520933
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Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics
McElroy, Tucker; Politis, Dimitris N. - In: Journal of econometrics 182 (2014) 1, pp. 211-225
Persistent link: https://www.econbiz.de/10010497087
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Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker; Jach, Agnieszka - In: Journal of financial econometrics 17 (2019) 3, pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
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Testing collinearity of vector time series
McElroy, Tucker; Jach, Agnieszka - In: The econometrics journal 22 (2019) 2, pp. 97-116
Persistent link: https://www.econbiz.de/10012166700
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Multistep ahead forecasting of vector time series
McElroy, Tucker; McCracken, Michael W. - In: Econometric reviews 36 (2017) 5, pp. 495-513
Persistent link: https://www.econbiz.de/10011795256