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VAR forecasting under misspecification
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Cited by:
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2021.
"Bayesian Local Projections,"
The Warwick Economics Research Paper Series (TWERPS)
1348, University of Warwick, Department of Economics.
- Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," SciencePo Working papers Main hal-03373574, HAL.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "Bayesian local projections," Working Papers hal-03373574, HAL.
- Leonardo N. Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers 2023-04, Center for Research in Economics and Statistics.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2023.
"Forecasting with a panel Tobit model,"
Quantitative Economics, Econometric Society, vol. 14(1), pages 117-159, January.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," NBER Working Papers 26569, National Bureau of Economic Research, Inc.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2019. "Forecasting with a Panel Tobit Model," CAEPR Working Papers 2019-005, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2021. "Forecasting with a Panel Tobit Model," Papers 2110.14117, arXiv.org, revised Jul 2022.
- Oriol Gonzalez-Casasus & Frank Schorfheide, 2025. "Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs," PIER Working Paper Archive 25-003, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2006.
"A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series,"
Journal of Econometrics, Elsevier, vol. 135(1-2), pages 499-526.
- Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Stock, James & Watson, Mark & Marcellino, Massimiliano, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," CEPR Discussion Papers 4976, C.E.P.R. Discussion Papers.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023.
"We modeled long memory with just one lag!,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023. "We modeled long memory with just one lag!," Post-Print hal-04185755, HAL.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
- Alfred A. Haug & Christie Smith, 2012.
"Local Linear Impulse Responses for a Small Open Economy,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 470-492, June.
- Alfred A Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2007/09, Reserve Bank of New Zealand.
- Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
- Michael W. McCracken & Joseph T. McGillicuddy, 2019.
"An empirical investigation of direct and iterated multistep conditional forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 181-204, March.
- Michael W. McCracken & Joseph McGillicuddy, 2017. "An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts," Working Papers 2017-40, Federal Reserve Bank of St. Louis.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021.
"The Transmission of Monetary Policy Shocks,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 13(3), pages 74-107, July.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2015. "The Transmission of Monetary Policy Shocks," Discussion Papers 1711, Centre for Macroeconomics (CFM), revised Feb 2017.
- Ricco, Giovanni & Miranda-Agrippino, Silvia, 2018. "The Transmission of Monetary Policy Shocks," CEPR Discussion Papers 13396, C.E.P.R. Discussion Papers.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The transmission of monetary policy shocks," LSE Research Online Documents on Economics 86163, London School of Economics and Political Science, LSE Library.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The Transmission of Monetary Policy Shocks," The Warwick Economics Research Paper Series (TWERPS) 1136, University of Warwick, Department of Economics.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The transmission of monetary policy shocks," Bank of England working papers 657, Bank of England.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The Transmission of Monetary Policy Shocks," Economic Research Papers 269310, University of Warwick - Department of Economics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2017. "The transmission of monetary policy shocks," Documents de Travail de l'OFCE 2017-15, Observatoire Francais des Conjonctures Economiques (OFCE).
- Pesaran, M.H. & Pick, A. & Timmermann, A., 2009.
"Variable Selection and Inference for Multi-period Forecasting Problems,"
Cambridge Working Papers in Economics
0901, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CESifo Working Paper Series 2543, CESifo.
- Pesaran, M. Hashem & Timmermann, Allan & Pick, Andreas, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CEPR Discussion Papers 7139, C.E.P.R. Discussion Papers.
- Thorsten Drautzburg & Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Dick Oosthuizen, 2024.
"Filtering with Limited Information,"
PIER Working Paper Archive
24-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Drautzburg, Thorsten & Fernández-Villaverde, Jesús & Guerron, Pablo & Oosthuizen, Dick, 2024. "Filtering with Limited Information," CEPR Discussion Papers 19270, C.E.P.R. Discussion Papers.
- Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," NBER Working Papers 32754, National Bureau of Economic Research, Inc.
- Thorsten Drautzburg & Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Dick Oosthuizen, 2024. "Filtering with Limited Information," CESifo Working Paper Series 11243, CESifo.
- Jari Hännikäinen, 2014.
"Multi-step forecasting in the presence of breaks,"
Working Papers
1494, Tampere University, Faculty of Management and Business, Economics.
- Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
- Li, Dake & Plagborg-Møller, Mikkel & Wolf, Christian K., 2024.
"Local projections vs. VARs: Lessons from thousands of DGPs,"
Journal of Econometrics, Elsevier, vol. 244(2).
- Dake Li & Mikkel Plagborg-M{o}ller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Papers 2104.00655, arXiv.org, revised Jan 2024.
- Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2022. "Local Projections vs. VARs: Lessons From Thousands of DGPs," NBER Working Papers 30207, National Bureau of Economic Research, Inc.
- Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
- Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020.
"A Scoring Rule for Factor and Autoregressive Models Under Misspecification,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," International Association of Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018. "A scoring rule for factor and autoregressive models under misspecification," Working Papers 2018:18, Department of Economics, University of Venice "Ca' Foscari".
- Fernández-Villaverde, J. & Rubio-RamÃrez, J.F. & Schorfheide, F., 2016.
"Solution and Estimation Methods for DSGE Models,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724,
Elsevier.
- Jesus Fernandez-Villaverde & Juan Rubio-RamÃrez & Frank Schorfheide, 2015. "Solution and Estimation Methods for DSGE Models," PIER Working Paper Archive 15-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2015.
- Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide, 2016. "Solution and Estimation Methods for DSGE Models," NBER Working Papers 21862, National Bureau of Economic Research, Inc.
- Rubio-RamÃrez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
- Valentina Corradi & Norman R. Swanson, 2007.
"Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, February.
- Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers 200618, Rutgers University, Department of Economics.
- Ang, Andrew & Piazzesi, Monika & Wei, Min, 2006.
"What does the yield curve tell us about GDP growth?,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 359-403.
- Andrew Ang & Monika Piazzesi & Min Wei, 2003. "What does the yield curve tell us about GDP growth?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Andrew Ang & Monika Piazzesi & Min Wei, 2004. "What Does the Yield Curve Tell us about GDP Growth?," NBER Working Papers 10672, National Bureau of Economic Research, Inc.
- Marco Del Negro & Frank Schorfheide & Frank Smets & Raf Wouters, 2004.
"On the fit and forecasting performance of New Keynesian models,"
FRB Atlanta Working Paper
2004-37, Federal Reserve Bank of Atlanta.
- Smets, Frank & Wouters, Raf & Del Negro, Marco & Schorfheide, Frank, 2005. "On the fit and forecasting performance of New-Keynesian models," Working Paper Series 491, European Central Bank.
- Smets, Frank & Del Negro, Marco & Wouters, Rafael & Schorfheide, Frank, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers.
- Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2010.
"Identification-Robust Minimum Distance Estimation of the New Keynesian Phillips Curve,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 465-481, March.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2010. "Identification‐Robust Minimum Distance Estimation of the New Keynesian Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2‐3), pages 465-481, March.
- Leandro M. Magnusson & Sophocles Mavroeidis, 2009. "Identification-Robust Minimum Distance Estimation of the New Keynesian Phillips Curve," Working Papers 0904, Tulane University, Department of Economics.
- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007.
"Do macro variables, asset markets, or surveys forecast inflation better?,"
Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
- Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
- Andrew Ang & Geert Bekaert & Min Wei, 2006. "Do macro variables, asset markets, or surveys forecast inflation better?," Finance and Economics Discussion Series 2006-15, Board of Governors of the Federal Reserve System (U.S.).
- Guillaume Chevillon, 2007.
"Direct Multi‐Step Estimation And Forecasting,"
Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
- Guillaume Chevillon, 2005. "Direct multi-step estimation and forecasting," Documents de Travail de l'OFCE 2005-10, Observatoire Francais des Conjonctures Economiques (OFCE).
- Nikolay Robinzonov & Klaus Wohlrabe, 2010.
"Freedom of Choice in Macroeconomic Forecasting ,"
CESifo Economic Studies, CESifo Group, vol. 56(2), pages 192-220, June.
- Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," ifo Working Paper Series 57, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
- Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 108-125.
- Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, University Library of Munich, Germany.
- Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011. "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, vol. 164(1), pages 173-187, September.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
- Michal Franta, 2016. "Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations," Working Papers 2016/05, Czech National Bank.
- Kapetanios, George & Price, Simon & Theodoridis, Konstantinos, 2015.
"A new approach to multi-step forecasting using dynamic stochastic general equilibrium models,"
Economics Letters, Elsevier, vol. 136(C), pages 237-242.
- Kapetanious, George & Price, Simon & Theodoridis, Konstantinos, 2015. "A new approach to multi-step forecasting using dynamic stochastic general equilibrium models," Bank of England working papers 567, Bank of England.
- Cheng, Xu & Hansen, Bruce E., 2015.
"Forecasting with factor-augmented regression: A frequentist model averaging approach,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 280-293.
- Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007.
"Pronósticos directos de la inflación colombiana,"
Borradores de Economia
4247, Banco de la Republica.
- Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 4246, Banco de la Republica.
- Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
- Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.
- Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
- Minsu Chang & Francis J. DiTraglia, 2020. "A Generalized Focused Information Criterion for GMM," Papers 2011.07085, arXiv.org.
- Ulrich K. Müller & James H. Stock, 2011. "Forecasts in a Slightly Misspecified Finite Order VAR Model," Working Papers 2011-4, Princeton University. Economics Department..
- DiTraglia, Francis J., 2016.
"Using invalid instruments on purpose: Focused moment selection and averaging for GMM,"
Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM," PIER Working Paper Archive 14-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Aug 2014.
- Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011.
"Variable selection, estimation and inference for multi-period forecasting problems,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 173-187, September.
- M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2010. "Variable Selection, Estimation and Inference for Multi-period Forecasting Problems," DNB Working Papers 250, Netherlands Central Bank, Research Department.
- Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016.
"Dynamic prediction pools: An investigation of financial frictions and forecasting performance,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405.
- Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," NBER Working Papers 20575, National Bureau of Economic Research, Inc.
- Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance," PIER Working Paper Archive 14-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Marco Del Negro & Raiden B. Hasegawa & Frank Schorfheide, 2014. "Dynamic prediction pools: an investigation of financial frictions and forecasting performance," Staff Reports 695, Federal Reserve Bank of New York.
- Mikkel Plagborg‐Møller & Christian K. Wolf, 2021.
"Local Projections and VARs Estimate the Same Impulse Responses,"
Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2020. "Local Projections and VARs Estimate the Same Impulse Responses," Working Papers 2020-16, Princeton University. Economics Department..
- McElroy, Tucker S. & Wildi, Marc, 2020. "The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions," Econometrics and Statistics, Elsevier, vol. 14(C), pages 112-130.
- Jinshun Wu & Luyao Wu, 2024. "Bayesian Local Likelihood Estimation of Time-Varying DSGE Models: Allowing for Indeterminacy," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2437-2476, October.
- Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
- Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
- Diego Fresoli, 2022. "Bootstrap VAR forecasts: The effect of model uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 279-293, March.
- Moffo, Ahmadou Mustapha Fonton, 2024. "A machine learning approach in stress testing US bank holding companies," International Review of Financial Analysis, Elsevier, vol. 95(PC).
- Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," ifo Working Paper Series 48, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
- Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
- Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022.
"How should parameter estimation be tailored to the objective?,"
Journal of Econometrics, Elsevier, vol. 230(2), pages 535-558.
- Elena Ivona Dumitrescu & Peter Hansen, 2020. "How Should Parameter Estimation Be Tailored to the Objective?," Post-Print hal-03331109, HAL.
- Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
- Tom Stark, 2010. "Realistic evaluation of real-time forecasts in the Survey of Professional Forecasters," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue May.
- Chor-yiu Sin & Shu-Hui Yu, 2019. "Order selection for possibly infinite-order non-stationary time series," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 187-216, June.
- John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, July.
- Ing, Ching-Kang & Sin, Chor-yiu & Yu, Shu-Hui, 2012. "Model selection for integrated autoregressive processes of infinite order," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 57-71.