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Asymptotically efficient autoregressive model selection for multistep prediction

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  • R. Bhansali

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  • R. Bhansali, 1996. "Asymptotically efficient autoregressive model selection for multistep prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(3), pages 577-602, September.
    • Handle: RePEc:spr:aistmt:v:48:y:1996:i:3:p:577-602
    DOI: 10.1007/BF00050857
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    References listed on IDEAS

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    1. Gersch, Will & Kitagawa, Genshiro, 1983. "The Prediction of Time Series with Trends and Seasonalities," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(3), pages 253-264, July.
    2. Weiss, Andrew A., 1991. "Multi-step estimation and forecasting in dynamic models," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 135-149.
    3. Taku Yamamoto, 1976. "Asymptotic Mean Square Prediction Error for an Autoregressive Model with Estimated Coefficients," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 25(2), pages 123-127, June.
    4. YAMAMOTO, Taku, 1976. "Asymptotic mean square prediction error for an autoregressive model with estimated coefficients," LIDAM Reprints CORE 291, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Lewis, Richard & Reinsel, Gregory C., 1985. "Prediction of multivariate time series by autoregressive model fitting," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 393-411, June.
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