Prediction focussed model selection for autoregressive models bmodels

@inproceedings{Claeskens2006PredictionFM,
  title={Prediction focussed model selection for autoregressive models bmodels},
  author={Gerda Claeskens and Christophe Croux and Johan Van Kerckhoven},
  year={2006}
}
In order to make predictions of future values of a time series, one needs to specify a forecasting model. A popular choice is an autoregressive time series model, where the order of the model is chosen by an information criterion. We propose an extension of the Focussed Information Criterion (FIC) for model-order selection with focus on a high predictive accuracy (i.e. the mean squared forecast error is low). We obtain theoretical results and illustrate in a simulation study that this FIC can… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-10 of 19 references

Asymptotically efficient autoregressive model selection for multistep

  • R. J. Bhansali
  • 1996
Highly Influential
8 Excerpts

An asymptotically optimal selection of the order

  • A. Karagrigoriou
  • Annals of Statistics,
  • 2001
Highly Influential
5 Excerpts

Asymptotically efficient autoregressive model selection for multistep prediction

  • R. J. Bhansali
  • Annals of the Institute of Statistical…
  • 1996
Highly Influential
5 Excerpts

Asymptotic behaviour of M estimators of p regression parameters when p 2 / n is large ; II . Normal approximation

  • S. Portnoy
  • The Annals of Statistics
  • 1985
Highly Influential
6 Excerpts

Asymptotic behaviour of M estimators of p regression parameters when p2/n is large; II

  • S. Portnoy
  • Normal approximation. The Annals of Statistics,
  • 1985
Highly Influential
8 Excerpts

Asymptotically efficient selection of the order of the model for estimat

  • R. Shibata
  • Journal of Time Series Analysis,
  • 1980
Highly Influential
4 Excerpts

Asymptotically efficient selection of the order of the model for estimating parameters of a linear process

  • R. Shibata
  • The Annals of Statistics
  • 1980
Highly Influential
4 Excerpts

An asymptotically optimal selection of the order of a linear process

  • S. Lee, A. Karagrigoriou
  • Sankhyā : The Indian Journal of Statistics
  • 2001
Highly Influential
3 Excerpts

Challenges for econometric model selection

  • B. E. Hansen
  • Econometric Theory
  • 2005
1 Excerpt

A joint regression variable and autoregressive order selection

  • P. 461–464. Shi, Tsai, C.-L
  • 2004
1 Excerpt

Similar Papers

Loading similar papers…