Model selection for multiperiod forecasts

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/27800

Title:	Model selection for multiperiod forecasts
Authors:	Liu,SI
Contributors:	統計研究所
Date:	1996
Issue Date:	2010-06-29 19:33:53 (UTC+8)
Publisher:	中央大學
Abstract:	Model selection for time series data based upon joint multiperiod forecasts is investigated. Some popular selection criteria are applied to a suitable multivariate regression model to create new selection criteria. Monte Carlo experiments show that the proposed selection procedure performs more efficiently than the corresponding regular procedure, particularly when the data are generated from a high order autoregressive model. Analysis of some real data supports the applicability of the proposed procedure, especially when the degree of differencing required is uncertain.
Relation:	BIOMETRIKA
Appears in Collections:	[Graduate Institute of Statistics] journal & Dissertation

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