Forecasting & evaluation
123 methods in this family.
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Arellano-Bond GMM estimatorThe Arellano-Bond GMM estimator is the standard approach for dynamic panel data models in which the lagged dependent variable appears as a regressor. By first-differencing to removAutoregressive modelAn autoregressive model of order p — AR(p) — expresses the current value of a time series as a linear function of its own p most recent past values plus a white-noise error. It is BK FilterThe Baxter-King (BK) band-pass filter, introduced by Marianne Baxter and Robert King in 1999, is a linear symmetric moving-average filter designed to isolate cyclical fluctuations Conformal Prediction (Time Series)Conformal prediction is a distribution-free wrapper that turns any point forecaster — ARIMA, a neural network, or a machine-learning model — into valid prediction intervals using oCroston's MethodCroston's method, introduced by J. D. Croston in 1972, is a time-series forecasting technique built for intermittent demand series in which periods of zero demand are frequent. InsDiebold-Mariano TestThe Diebold-Mariano (DM) test, introduced by Diebold and Mariano in 1995, is a widely used non-parametric procedure for formally comparing the predictive accuracy of two competing
All methods 123
Arellano-Bond GMM estimatorAutoregressive modelBK FilterConformal Prediction (Time Series)Croston's MethodDiebold-Mariano TestDifference GMMDTW Barycenter AveragingDynamic Factor ModelDynamic Panel Data ModelFEVDFixed Effects ModelFourier AR ModelFourier Arellano-Bond GMMFourier Dynamic Panel Data ModelFourier Fixed Effects ModelFourier GLSFourier Granger CausalityFourier Hausman testFourier MA ModelFourier NARDLFourier OLSFourier Panel Data AnalysisFourier Quantile-on-Quantile RegressionFourier Random Effects ModelFourier system GMMFourier Toda-Yamamoto CausalityFourier WLSGiacomini-White TestGranger Causality TestHP FilterMarkov-Switching MultifractalMIDAS RegressionModel Confidence SetNonlinear AR ModelNonlinear ARDL bounds testNonlinear Arellano-Bond GMMNonlinear difference GMMNonlinear Dynamic Panel Data ModelNonlinear Fixed Effects ModelNonlinear GLSNonlinear Granger CausalityNonlinear Hausman testNonlinear MA modelNonlinear NARDLNonlinear OLSNonlinear Panel Data AnalysisNonlinear Random Effects ModelNonlinear System GMMNonlinear Toda-Yamamoto CausalityNonlinear WLSPanel AR modelPanel Arellano-Bond GMMPanel Data AnalysisPanel Dynamic Panel Data ModelPanel Fixed Effects ModelPanel GLSPanel Granger CausalityPanel Hausman TestPanel OLSPanel Quantile-on-Quantile RegressionPanel Random Effects ModelPanel System GMMPanel Toda-Yamamoto CausalityPesaran-Timmermann TestProphetQuantile-on-Quantile RegressionRobust AR modelRobust ARDL bounds testRobust Arellano-Bond GMMRobust Difference GMMRobust Dynamic Panel Data ModelRobust Fixed Effects ModelRobust GLSRobust Granger CausalityRobust MA modelRobust NARDLRobust OLSRobust Panel Data AnalysisRobust Quantile-on-Quantile RegressionRobust Random Effects ModelRobust System GMMRobust WLSSingular Spectrum AnalysisSTL DecompositionStructural Break AR ModelStructural Break ARDL Bounds TestStructural Break Difference GMMStructural Break Dynamic Panel Data ModelStructural Break Fixed Effects ModelStructural Break GLSStructural Break Granger CausalityStructural Break Hausman TestStructural Break MA ModelStructural Break NARDLStructural Break OLSStructural Break Panel Data AnalysisStructural Break Quantile-on-Quantile RegressionStructural Break Random Effects ModelStructural Break System GMMStructural Break Toda-Yamamoto CausalityStructural Break WLSStructural Time Series ModelTheta MethodTime-Series Cross-ValidationTime-varying parameter AR modelTime-varying parameter Arellano-Bond GMMTime-varying parameter difference GMMTime-varying parameter dynamic panel data modelTime-varying parameter fixed effects modelTime-varying parameter GLSTime-varying parameter Granger causalityTime-varying parameter Hausman testTime-varying parameter MA modelTime-varying parameter NARDLTime-varying parameter OLSTime-varying Parameter Panel Data AnalysisTime-varying parameter quantile-on-quantile regressionTime-varying parameter random effects modelTime-varying parameter system GMMTime-varying parameter Toda-Yamamoto causalityTime-varying parameter WLSToda-Yamamoto causality test