文章基本信息

标题：Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
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作者：M. Hashem Pesaran ; Andreas Pick ; Allan Timmermann 等
期刊名称：DNB Working Papers / De Nederlandsche Bank
出版年度：2010
卷号：1
出版社：De Nederlandsche Bank
摘要：This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both univariate and multivariate models in the form of parsimonious factor-augmented vector autoregressions. To account for serial correlation in the residuals of the multi-period direct forecasting models we propose a new SUREbased estimation method and modified Akaike information criteria for model selection. Empirical analysis of the 170 variables studied by Marcellino, Stock and Watson (2006) shows that information in factors helps improve forecasting performance for most types of economic variables although it can also lead to larger biases. It also shows that finitesample modifications to the Akaike information criterion can modestly improve the performance of the direct multi-period forecasts. JEL Classifications: C22, C32, C52, C53.
关键词：Multi-period forecasts, direct and iterated methods, factor augmented VARs.