SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The sampling distribution of forecasts from a first-order autoregression
6 references·16 citing·37 second hop
The sampling distribution of forecasts from a first-order autoregression (1979)The sampling distribution of forecasts fr…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators (1977)A General Theorem in the Theo…Econometric Models of Cyclical Behaviour. (1973)Econometric Models of Cyclica…Time Series Analysis Forecasting and Control. (1971)Time Series Analysis Forecast…First Order Autoregression: Inference, Estimation, and Prediction (1969)First Order Autoregression: I…Statistical Inference in Dynamic Economic Models (1950)Statistical Inference in Dyna…Does modeling a structural break improve forecast accuracy? (2019)Does modeling a structural br…Tests for serial dependence in static, non-Gaussian factor models (2015)Tests for serial dependence i…Measuring the dynamics of global business cycle connectedness (2015)Measuring the dynamics of glo…A state-dependent model for inflation forecasting (2015)A state-dependent model for i…Empirical prediction intervals revisited (2013)Empirical prediction interval…Variable Selection and Inference for Multi-Period Forecasting Problems (2009)Variable Selection and Infere…Improved prediction intervals for stochastic process models (2004)Improved prediction intervals…VAR, ERROR CORRECTION AND PRETEST FORECASTS AT LONG HORIZONS (1996)VAR, ERROR CORRECTION AND PRE…ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES (1993)ON BOOTSTRAP PREDICTIVE INFER…Multi-step estimation and forecasting in dynamic models (1991)Multi-step estimation and for…Predictive Accuracy Gain From Disaggregate Sampling in ARIMA Models (1990)Predictive Accuracy Gain From…Predictors in Dynamic Nonlinear Models: Large-Sample Behavior (1989)Predictors in Dynamic Nonline…The exact multi-period mean-square forecast error for the first-order autoregressive model (1988)The exact multi-period mean-s…Sampling the Future: A Bayesian Approach to Forecasting From Univariate Time Series Models (1986)Sampling the Future: A Bayesi…Predictors for the first-order autoregressive process (1980)Predictors for the first-orde…Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models (1979)Asymptotic Prediction Mean Sq…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical analysis of cointegration vectors (1988)Efficient Tests for an Autoregressive Unit Root (1996)Unit-Root Tests Are Useful for Selecting Forecasting Models (2000)Forecast Pooling for Short Time Series of Macroeconomic Variables (2002)A linear benchmark for forecasting GDP growth and inflation? (2008)An Essay on the Theory of Economic Prediction (1972)Specification Tests in Econometrics (1978)Multi‐Step Forecasting (2004)Direct Multi-Step Estimation and Forecasting (2006)Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns (2010)Survey of current business (1921)Nobel Lecture: Inflation and Unemployment (1977)Bayesian prediction with cointegrated vector autoregressions (2001)Forecasting Inflation via Experimental Stock Markets: Some Results from Pilot Markets (2005)The arbitrage theory of capital asset pricing (1976)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets (2017)Inflation synchronization among the G7and China: The important role of oil inflation (2021)Measuring the Connectedness of the Global Economy (2021)Dynamic panel estimation and homogeneity testing under cross section dependence (2003)Measuring and modeling systematic risk in factor pricing models using high-frequency data (2003)Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence (2006)What To Do (and Not to Do) with Time-Series Cross-Section Data (1995)Nuisance vs. Substance: Specifying and Estimating Time-Series-Cross-Section Models (1996)An overview of structural equation modeling: its beginnings, historical development, usefulness and controversies in the social sciences (2017)Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume (1980)An Asymptotic Expansion in the GARCH(l, 1) Model (1997)Multivariate moments expansion density: Application of the dynamic equicorrelation model (2016)Statistical Analysis of Econometric Models (1979)Dynamic Specification (2000)Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money (2000)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)Some recent development in a concept of causality (1988)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
this work references cited by second hop

References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1971Time Series Analysis Forecasting and Control.6,714 cited
  • 1950Statistical Inference in Dynamic Economic Models454 cited
  • 1969First Order Autoregression: Inference, Estimation, and Prediction192 cited
  • 1973Econometric Models of Cyclical Behaviour.164 cited
  • 1977A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators105 cited

Cited by

  • 2015Measuring the dynamics of global business cycle connectedness71 cited
  • 1991Multi-step estimation and forecasting in dynamic models70 cited
  • 1996VAR, ERROR CORRECTION AND PRETEST FORECASTS AT LONG HORIZONS64 cited
  • 1986Sampling the Future: A Bayesian Approach to Forecasting From Univariate Time Series Models61 cited
  • 1988The exact multi-period mean-square forecast error for the first-order autoregressive model52 cited
  • 1979Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models52 cited
  • 2013Empirical prediction intervals revisited49 cited
  • 1980Predictors for the first-order autoregressive process48 cited
  • 1989Predictors in Dynamic Nonlinear Models: Large-Sample Behavior

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

46 cited
  • 2004Improved prediction intervals for stochastic process models44 cited
  • 1993ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES41 cited
  • 2015A state-dependent model for inflation forecasting39 cited
  • 1990Predictive Accuracy Gain From Disaggregate Sampling in ARIMA Models39 cited
  • 2009Variable Selection and Inference for Multi-Period Forecasting Problems34 cited
  • 2015Tests for serial dependence in static, non-Gaussian factor models31 cited
  • 2019Does modeling a structural break improve forecast accuracy?31 cited