Predictive model averaging with parameter instability and heteroskedasticity

DOI10.1111/BOER.12429MaRDI QIDQ6540716

Anwen Yin

Publication date: 17 May 2024

Published in: Bulletin of Economic Research (Search for Journal in Brave)

zbMATH Keywords

cross-validationconditional heteroskedasticityforecast combinationstructural breakmodel averaging

Mathematics Subject Classification ID

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

Cites Work

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• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Model Selection and Model Averaging
• AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK
• Frequentist Model Average Estimators
• Estimating and Testing Linear Models with Multiple Structural Changes
• Model averaging, asymptotic risk, and regressor groups
• Least Squares Model Averaging

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