Model averaging based on leave-subject-out cross-validation for vector autoregressions
type: Item
instance of: scholarly article
title: Model averaging based on leave-subject-out cross-validation for vector autoregressions
zbMATH Open document ID: 1452.62657
author: Jun Liao
author: Xianpeng Zong
author: Xinyu Zhang
author: Guohua Zou
published in: Journal of Econometrics
publication date: 2019-04-30T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 7049021
zbMATH Keywords: asymptotic optimality
zbMATH Keywords: consistency
zbMATH Keywords: leave-subject-out cross-validation
zbMATH Keywords: model averaging
zbMATH Keywords: vector autoregressions
MaRDI profile type: Publication
full work available at URL: j.jeconom.2018.10.007
OpenAlex ID: W2904550086
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Wikidata QID: Q128724999
DOI: 10.1016/J.JECONOM.2018.10.007
description: scientific article; zbMATH DE number 7049021