Time-varying model averaging

DOI10.1016/j.jeconom.2020.02.006zbMath1471.62543OpenAlexW3014121187MaRDI QIDQ2024462

Yongmiao Hong, Xinyu Zhang, Tae-Hwy Lee, Yuying Sun, Shou-Yang Wang

Publication date: 4 May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://economics.ucr.edu/repec/ucr/wpaper/202001.pdf

zbMATH Keywords

asymptotic optimalitystructural changeforecast combinationlocal stationaritymodel averagingtime-varying model averaging

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Related Items (10)

Model averaging for interval-valued data ⋮ Model averaging for asymptotically optimal combined forecasts ⋮ Specification tests for time-varying coefficient models ⋮ Penalized time-varying model averaging ⋮ Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models ⋮ Model averaging prediction by \(K\)-fold cross-validation ⋮ Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions ⋮ Optimal model averaging for semiparametric partially linear models with measurement errors ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes ⋮ Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination

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