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Theory and practice of multivariate arma forecasting
14 references·1 citing·35 second hop
Theory and practice of multivariate arma forecasting (1984)Theory and practice of multivariate arma …Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)The accuracy of extrapolation…Predictions of Multivariate Autoregressive-moving Average Models (1981)Predictions of Multivariate A…Granger-causality in multiple time series (1981)Granger-causality in multiple…Asymptotic Properties of Prediction Errors for the Multivariate Autoregressive Model Using Estimated Parameters (1980)Asymptotic Properties of Pred…Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models (1979)Asymptotic Prediction Mean Sq…Accuracy of Forecasting: An Empirical Investigation (1979)Accuracy of Forecasting: An E…Relationships—and the Lack Thereof—Between Economic Time Series, with Special Reference to Money and Interest Rates (1977)Relationships—and the Lack Th…Relationships--and the Lack Thereof--Between Economic Time Series, with Special Reference to Money and Interest Rates (1977)Relationships--and the Lack T…Forecasting Economic Time Series (1977)Forecasting Economic Time Ser…Comparison of Forecast and Actuality (1976)Comparison of Forecast and Ac…Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients (1976)Asymptotic Mean Square Predic…MONEY, INCOME, AND CAUSALITY (1972)MONEY, INCOME, AND CAUSALITYInvestigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Bootstrap multi-step forecasts of non-Gaussian VAR models (2014)Bootstrap multi-step forecast…The Structure of Scientific Revolutions (1963)On the psychology of prediction. (1973)ARMA Models and the Box-Jenkins Methodology (1997)Time series forecasts of international travel demand for Australia (2002)Forecasting and operational research: a review (2008)Causality in temporal systems (1977)Time Series Analysis: Forecasting and Control (1977)A causality-in-variance test and its application to financial market prices (1996)The Combination of Forecasts (1969)Exponential smoothing: The state of the art (1985)Combining forecasts: A review and annotated bibliography (1990)Error measures for generalizing about forecasting methods: Empirical comparisons (1992)Forecasting methods and applications (1993)A Change in Level of a Non-Stationary Time Series (1965)Some practical aspects of forecasting in organizations (1982)A Test of the OPEC Cartel Hypothesis: 1974–1983 (1985)An analysis of the international tourism demand in Spain (1995)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Automatic Lag Selection in Covariance Matrix Estimation (1994)Introductory Econometrics for Finance (2008)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)The Relationship Between Employee Job Change and Job Satisfaction: The Honeymoon-Hangover Effect. (2005)Asymptotics for out of sample tests of Granger causality (2006)Effects of Not Knowing the Order of an Autoregressive Process on the Mean Squared Error of Prediction—I (1981)Properties of Predictors in Misspecified Autoregressive Time Series Models (1985)Mean squared prediction error in the spatial linear model with estimated covariance parameters (1992)Causality tests in econometrics (1979)New business starts and economic activity (1987)Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money (2000)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1972MONEY, INCOME, AND CAUSALITY3,013 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1982The accuracy of extrapolation (time series) methods: Results of a forecasting competition1,465 cited
  • 1977Forecasting Economic Time Series697 cited
  • 1979Accuracy of Forecasting: An Empirical Investigation514 cited
  • 1977Relationships—and the Lack Thereof—Between Economic Time Series, with Special Reference to Money and Interest Rates307 cited
  • 1977Relationships--and the Lack Thereof--Between Economic Time Series, with Special Reference to Money and Interest Rates146 cited
  • 1976Comparison of Forecast and Actuality103 cited
  • 1976Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients103 cited
  • 1981Predictions of Multivariate Autoregressive-moving Average Models61 cited
  • 1981Granger-causality in multiple time series53 cited
  • 1979Asymptotic Prediction Mean Squared Error for Vector Autoregressive Models52 cited
  • 1980Asymptotic Properties of Prediction Errors for the Multivariate Autoregressive Model Using Estimated Parameters42 cited

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2014
Bootstrap multi-step forecasts of non-Gaussian VAR models
35 cited