Shrinkage estimation and forecasting in dynamic regression models under structural instability

DOI10.1515/jem-2023-0036MaRDI QIDQ6656775

Shahnaz Parsaeian, Ali Mehrabani, Aman Ullah

Publication date: 3 January 2025

Published in: Journal of Econometric Methods (Search for Journal in Brave)

zbMATH Keywords

asymptotic approximationunit rootforecastingstructural breaksARX-modelnon-stationary regressors

Mathematics Subject Classification ID

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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