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A multivariate approach to seasonal adjustment

Greenaway-McGrevy, Ryan - 2013

Persistent link: https://www.econbiz.de/10009769671

Asymptotically efficient model selection for panel data forecasting

Greenaway-McGrevy, Ryan - In: Econometric theory 35 (2019) 4, pp. 842-899

Persistent link: https://www.econbiz.de/10012386845

Multistep forecast selection for panel data

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

Persistent link: https://www.econbiz.de/10012181429

Estimating the number of common factors in serially dependent approximate factor models

Greenaway-McGrevy, Ryan; Han, Chirok; Sul, Donggyu - In: Economics letters 116 (2012) 3, pp. 531-534

Persistent link: https://www.econbiz.de/10009674897

Asymptotically Efficient Model Selection for Panel Data Forecasting

Greenaway-McGrevy, Ryan - 2018

This paper develops new model selection methods for forecasting panel data using a set of least squares (LS) vector autoregressions. Model selection is based on minimizing the estimated quadratic forecast risk among candidate models. We provide conditions under which the selection criterion is...

Persistent link: https://www.econbiz.de/10012926591