Specific-to-general predictor selection in approximate autoregressions—Monte Carlo evidence and a large scale performance assessment with real data

Helmut Herwartz ()

AStA Advances in Statistical Analysis, 2011, vol. 95, issue 2, pages 147-168

Keywords: Model selection; Specification testing; Lagrange multiplier tests; Forecasting (search for similar items in EconPapers)
Date: 2011
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