Model averaging in predictive regressions

DOI10.1111/ECTJ.12063OpenAlexW3125768029MaRDI QIDQ5093939

Biing-Shen Kuo, Chu-An Liu

Publication date: 2 August 2022

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/54198/1/MPRA_paper_54198.pdf

zbMATH Keywords

forecast combinationplug-in estimatorslocal asymptotic theory

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (10)

Optimal model averaging based on forward-validation ⋮ Model averaging for asymptotically optimal combined forecasts ⋮ Penalized time-varying model averaging ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ When and when not to use optimal model averaging ⋮ On the least-squares model averaging interval estimator ⋮ Frequentist model averaging in structural equation modelling ⋮ Focused information criterion for locally misspecified vector autoregressive models ⋮ Optimal model averaging for divergent-dimensional Poisson regressions

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