Averaging estimators for autoregressions with a near unit root

DOI10.1016/j.jeconom.2010.03.022zbMath1431.62382OpenAlexW1976552002MaRDI QIDQ736566

Bruce E. Hansen

Publication date: 4 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.022

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)

Related Items (14)

Forecasting cointegrated nonstationary time series with time-varying variance ⋮ On the dominance of Mallows model averaging estimator over ordinary least squares estimator ⋮ Frequentist model averaging for linear mixed-effects models ⋮ Forecasting vector autoregressions with mixed roots in the vicinity of unity ⋮ Model averaging for varying-coefficient partially linear measurement error models ⋮ Least squares model averaging for two non-nested linear models ⋮ Frequentist model averaging estimation: a review ⋮ Forecasting using random subspace methods ⋮ Least squares model averaging by Mallows criterion ⋮ AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS ⋮ Least squares model averaging based on generalized cross validation ⋮ Distribution theory of the least squares averaging estimator ⋮ Jackknife model averaging for quantile regressions ⋮ Residual-augmented IVX predictive regression

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