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

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@article{d9ab8d31eec5479fbb86cb84af12bb17,

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

author = "H Pesaran and Andreas Pick and A Timmermann",

year = "2011",

doi = "10.1016/j.jeconom.2011.02.018",

language = "English",

volume = "164",

pages = "173--187",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

number = "1",

}