Estimating the variance of a combined forecast: bootstrap-based approach

DOI10.1016/j.jeconom.2021.09.011OpenAlexW3203862843MaRDI QIDQ2682957

Kajal Lahiri, Ulrich Hounyo

Publication date: 1 February 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.09.011

zbMATH Keywords

bootstrapwild bootstraplocal asymptotic theorymodel average estimatorsvariance of consensus forecast

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Complete subset regressions
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Least-squares forecast averaging
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• A bootstrap-assisted spectral test of white noise under unknown dependence
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Bootstrapping regression models
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
• Testing for structural change in conditional models
• The jackknife and the bootstrap for general stationary observations
• The jackknife and bootstrap
• Distribution theory of the least squares averaging estimator
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrapping factor-augmented regression models
• The Stationary Bootstrap
• A bootstrap procedure in linear regression with nonstationary errors
• Frequentist Model Average Estimators
• Model averaging, asymptotic risk, and regressor groups
• THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
• Bootstrap Standard Error Estimates and Inference
• Model averaging in predictive regressions
• Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
• Bootstrap Inference in Regressions with Estimated Factors and Serial Correlation
• The Dependent Wild Bootstrap
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Least Squares Model Averaging
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrap Standard Error Estimates for Linear Regression

This page was built for publication: Estimating the variance of a combined forecast: bootstrap-based approach