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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...
Persistent link: https://www.econbiz.de/10003807908
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Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim (ed.); Engle, Robert F. (honouree);  … - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003861657
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003851191
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Bayesian model selection and forecasting in noncausal autoregressive models
Lanne, Markku; Luoma, Arto; Luoto, Jani - 2009
Persistent link: https://www.econbiz.de/10003884523
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Real-time detection of the business cycle using SETAR models
Ferrara, Laurent; Guégan, Dominique - In: Growth and cycle in the Euro-zone, (pp. 221-232). 2006
Persistent link: https://www.econbiz.de/10003412187
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Variable selection, estimation and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2010
Persistent link: https://www.econbiz.de/10003978514
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The asymmetric cycling of US soybeans and Brazilian coffee prices: an opportunity for improved forecasting and understanding of price behavior
Ramírez, Octavio A. - In: Journal of agricultural and applied economics 41 (2009) 1, pp. 253-270
Persistent link: https://www.econbiz.de/10003876499
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Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011 - This version: July 2011
that the LMACP nicely captures salient features of bid-ask spreads like the strong autocorrelation and discreteness of …
Persistent link: https://www.econbiz.de/10009229669
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Forecasting U.S. recessions and economic activity
Kotchoni, Rachidi; Stevanovic, Dalibor - 2016
Persistent link: https://www.econbiz.de/10011520468
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Censored latent effects autoregression, with an application to US unemployment
Franses, Philip Hans; Paap, Richard - In: Journal of applied econometrics 17 (2002) 4, pp. 347-366
Persistent link: https://www.econbiz.de/10001690455