Model averaging prediction for time series models with a diverging number of parameters
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Publication:2024480
DOI10.1016/j.jeconom.2020.10.004zbMath1471.62469OpenAlexW3095154747MaRDI QIDQ2024480
Yan Gao, Jun Liao, Xinyu Zhang, Guo Hua Zou
Publication date: 4 May 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.10.004
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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