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Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination
16 references·8 citing·30 second hop
Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination (2004)Forecasting performance of multivariate t…Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Co-integration constraint and forecasting: An empirical examination (1996)Co-integration constraint and…Assessing forecast performance in a cointegrated system (1996)Assessing forecast performanc…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyOn the limitations of comparing mean square forecast errors (1993)On the limitations of compari…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Econometric Evaluation of Linear Macro-Economic Models (1986)Econometric Evaluation of Lin…Large-Scale Macro-Econometric Models. (1983)Large-Scale Macro-Econometric…Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory (1977)Business Cycle Modeling Witho…Some comments on the evaluation of economic forecasts (1973)Some comments on the evaluati…Historical Statistics of the United States, 1789-1945 (1949)Historical Statistics of the …Predicting Scrap Steel Prices Through Machine Learning for South China (2025)Predicting Scrap Steel Prices…Machine learning predictions of China commodity price indices (2025)Machine learning predictions …Machine learning platinum price predictions (2025)Machine learning platinum pri…Forecasts of wholesale food price indices through Gaussian process regressions (2025)Forecasts of wholesale food p…Bayesian-Optimized Gaussian Process Calibration for Forecasting Carbon Allowance Prices in Tianjin (2025)Bayesian-Optimized Gaussian P…Steel price index forecasts through machine learning for northwest China (2024)Steel price index forecasts t…Platinum and palladium price forecasting through neural networks (2024)Platinum and palladium price …25 Years of Iif Time Series Forecasting: A Selective Review (2005)25 Years of Iif Time Series F…The Generalized Dynamic-Factor Model: Identification and Estimation (2000)The Generalized Dynamic Factor Model (2005)Transition Modeling and Econometric Convergence Tests (2007)Short- Term Interest Rates as Predictors of Inflation (2021)Rank Correlation Methods. (1957)Comparing Predictive Accuracy (1995)Pooling of forecasts (2004)Time-Varying Risk Premiums and the Output Gap (2008)Short interest and aggregate stock returns (2016)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Macroeconomics and Reality (1980)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)8 Forecast evaluation and combination (1996)Oil prices and the rise and fall of the US real exchange rate (1998)Economic and statistical measures of forecast accuracy (2000)Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification (2005)The Volatility of Realized Volatility (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 1987Forecasting and testing in co-integrated systems1,896 cited
  • 1998Forecasting Economic Time Series863 cited
  • 1998Tests for Forecast Encompassing786 cited
  • 1977Business Cycle Modeling Without Pretending to Have Too Much A Priori Economic Theory708 cited
  • 1986Econometric Evaluation of Linear Macro-Economic Models601 cited
  • 1993On the limitations of comparing mean square forecast errors392 cited
  • 1949Historical Statistics of the United States, 1789-1945392 cited
  • 1973Some comments on the evaluation of economic forecasts263 cited
  • 1983Large-Scale Macro-Econometric Models.145 cited
  • 1996Assessing forecast performance in a cointegrated system137 cited
  • 1996

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Co-integration constraint and forecasting: An empirical examination
124 cited

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  • 2025Machine learning platinum price predictions45 cited
  • 2024Platinum and palladium price forecasting through neural networks42 cited
  • 2025Predicting Scrap Steel Prices Through Machine Learning for South China42 cited
  • 2025Machine learning predictions of China commodity price indices41 cited
  • 2024Steel price index forecasts through machine learning for northwest China39 cited