Abstract

We develop a new set of model selection methods for direct multistep forecasting of panel data vector autoregressive processes. Model selection is based on minimizing the estimated multistep quadratic forecast risk among candidate models. To attenuate the small sample bias of the least squares estimator, models are fitted using bias-corrected least squares. We provide conditions sufficient for the new selection criteria to be asymptotically efficient as n (cross sections) and T (time series) approach infinity. The new criteria outperform alternative selection methods in an empirical application to forecasting metropolitan statistical area population growth in the US.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.