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The sampling distribution of forecasts from a first-order autoregression
Citations
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Cited by:
- Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
- 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.
- Jean Francois David & Eric Ghysels, 1989. "Y a-t-il des biais systematiques dans les annonces budgetaires canadiennes? (With English summary.)," Canadian Public Policy, University of Toronto Press, vol. 15(3), pages 313-321, September.
- Müller, Ulrich K. & Wang, Yulong, 2019. "Nearly weighted risk minimal unbiased estimation," Journal of Econometrics, Elsevier, vol. 209(1), pages 18-34.
- Kabaila, Paul & Syuhada, Khreshna, 2010. "The asymptotic efficiency of improved prediction intervals," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1348-1353, September.
- Simon Nik & Christian H. Weiß, 2020. "CLAR(1) point forecasting under estimation uncertainty," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 74(4), pages 489-516, November.
- Daniel W. Apley & Hyun Cheol Lee, 2010. "The effects of model parameter deviations on the variance of a linearly filtered time series," Naval Research Logistics (NRL), John Wiley & Sons, vol. 57(5), pages 460-471, August.
- Aman Ullah & Yong Bao & Ru Zhang, 2014. "Moment Approximation for Unit Root Models with Nonnormal Errors," Working Papers 201401, University of California at Riverside, Department of Economics.
- David Harris & Gael M. Martin & Indeewara Perera & Don S. Poskitt, 2017. "Construction and visualization of optimal confidence sets for frequentist distributional forecasts," Monash Econometrics and Business Statistics Working Papers 9/17, Monash University, Department of Econometrics and Business Statistics.
- Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 108-125.
- Lee, Yun Shin & Scholtes, Stefan, 2014. "Empirical prediction intervals revisited," International Journal of Forecasting, Elsevier, vol. 30(2), pages 217-234.
- Gospodinov, Nikolay, 2002.
"Median unbiased forecasts for highly persistent autoregressive processes,"
Journal of Econometrics, Elsevier, vol. 111(1), pages 85-101, November.
- Nikolay Gospodinov, 1999. "Median Unbiased Forecasts for Highly Persistent Autoregressive Processes," Computing in Economics and Finance 1999 533, Society for Computational Economics.
- Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
- Lee, Yun Shin, 2014. "A semi-parametric approach for estimating critical fractiles under autocorrelated demand," European Journal of Operational Research, Elsevier, vol. 234(1), pages 163-173.
- Eric Beutner & Alexander Heinemann & Stephan Smeekes, 2017.
"A Justification of Conditional Confidence Intervals,"
Papers
1710.00643, arXiv.org, revised Jan 2019.
- Beutner, Eric & Heinemann, Alexander & Smeekes, Stephan, 2017. "A Justification of Conditional Confidence Intervals," Research Memorandum 023, Maastricht University, Graduate School of Business and Economics (GSBE).
- Bao Yong & Zhang Ru, 2013. "Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model," Journal of Time Series Econometrics, De Gruyter, vol. 6(1), pages 63-80, July.
- Paolo Vidoni, 2009. "A simple procedure for computing improved prediction intervals for autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 577-590, November.
- Stanislav Anatolyev & Nikolay Gospodinov, 2012. "Asymptotics of near unit roots (in Russian)," Quantile, Quantile, issue 10, pages 57-71, December.
- Ng, Serena, 2013. "Variable Selection in Predictive Regressions," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 752-789, Elsevier.
- Paolo Vidoni, 2004. "Improved prediction intervals for stochastic process models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 137-154, January.
- Ching‐Kang Ing & Shu‐Hui Yu, 2003. "On Estimating Conditional Mean‐Squared Prediction Error in Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 401-422, July.
- John L. Turner, 2004. "Local to unity, long-horizon forecasting thresholds for model selection in the AR(1)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(7), pages 513-539.
- Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Boot, Tom & Pick, Andreas, 2020. "Does modeling a structural break improve forecast accuracy?," Journal of Econometrics, Elsevier, vol. 215(1), pages 35-59.
- Spiliotis, Evangelos & Nikolopoulos, Konstantinos & Assimakopoulos, Vassilios, 2019. "Tales from tails: On the empirical distributions of forecasting errors and their implication to risk," International Journal of Forecasting, Elsevier, vol. 35(2), pages 687-698.
- Paul Kabaila & Zhisong He, 2004. "The adjustment of prediction intervals to account for errors in parameter estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 351-358, May.