VAR forecasting under misspecification

Journal of Econometrics

Volumn 128, Issue 1, 2005, Pages 99-136

  Schorfheide, Frank ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Forecasting; Loss function estimation; Model selection

Indexed keywords

ASYMPTOTIC STABILITY; ERROR ANALYSIS; FORECASTING; MAXIMUM LIKELIHOOD ESTIMATION; MONTE CARLO METHODS; PARAMETER ESTIMATION; PROBABILITY DISTRIBUTIONS; VECTORS;

ECONOMETRICS; LOSS FUNCTION ESTIMATION; MODEL SELECTION; QUADRATIC LOSS; VECTOR AUTOREGRESSIONS (VAR);

REGRESSION ANALYSIS;

EID: 21744456782     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.08.009     Document Type: Article

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