Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021
We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified …-validation procedure. In a set of Monte Carlo experiments we reveal that the estimation method can significantly improve the forecasting … accuracy of autoregressive models. In an empirical study concerned with forecasting the U.S. Industrial Production, we show …