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Variable Selection and Inference for Multi-Period Forecasting Problems · Study

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PreprintVariable Selection and Inference for Multi-Period Forecasting Problems

Unknown author2009

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Preprintgreen2009

Variable Selection and Inference for Multi-Period Forecasting Problems

Unknown author

34 citations·0/0 files stored·SSRN Electronic Journal

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical Methods and Inference

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References

2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2005Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach 2006Tests of Conditional Predictive Ability 2005Implications of Dynamic Factor Models for VAR Analysis 2005The Generalized Dynamic Factor Model 2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series 1977Forecasting Economic Time Series

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations34

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.2139/ssrn.1340396

openalex_workW2170308306

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