Similar Search Results - EconBiz

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

Persistent link: https://www.econbiz.de/10003814581

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Persistent link: https://www.econbiz.de/10003807908

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

Persistent link: https://www.econbiz.de/10003851191

Variable selection, estimation and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2010

Persistent link: https://www.econbiz.de/10003978514

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...

Persistent link: https://www.econbiz.de/10010276226

The use of recursive model selection strategies in forecasting stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10000924261

Predictability of stock returns : robustness and economic significance

Pesaran, M. Hashem - In: The journal of finance : the journal of the American … 50 (1995) 4, pp. 1201-1228

Persistent link: https://www.econbiz.de/10001191734

Model instability and choice of observation window

Pesaran, M. Hashem; Timmermann, Allan - 1999

Persistent link: https://www.econbiz.de/10001412208

Market timing and return prediciton under model instability

Pesaran, M. Hashem; Timmermann, Allan - In: Journal of empirical finance 9 (2002) 5, pp. 495-510

Persistent link: https://www.econbiz.de/10001712014

Market timing and return prediction under model instability

Pesaran, M. Hashem; Timmermann, Allan - 2002

Persistent link: https://www.econbiz.de/10001662209

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