Forecasting time series of economic processes by model averaging across data frames of various lengths

DOI10.1080/00949655.2017.1359268OpenAlexW2744498583MaRDI QIDQ5106992

Nikita A. Moiseev

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2017.1359268

zbMATH Keywords

Akaike information criterionBayesian information criterionforecast combinationmodel averaginginterval forecastdata frame selectionmean-squared forecast error model averaging

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Model averaging for multiple quantile regression with covariates missing at random

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