Model averaging based on leave-subject-out cross-validation for vector autoregressions (Q1740272): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2018.10.007
+Normal rank
@@ Property / OpenAlex ID @@
+W2904550086
@@ Property / OpenAlex ID: W2904550086 / rank @@
+Normal rank
@@ Property / cites work @@
+A Model-Averaging Approach for High-Dimensional Regression
+Normal rank
@@ Property / cites work @@
+Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
+Normal rank
@@ Property / cites work @@
+Forecasting with factor-augmented regression: a frequentist model averaging approach
+Normal rank
@@ Property / cites work @@
+Toward optimal model averaging in regression models with time series errors
+Normal rank
@@ Property / cites work @@
+Nonconcave penalized likelihood with a diverging number of parameters.
+Normal rank
@@ Property / cites work @@
+Model averaging based on leave-subject-out cross-validation
+Normal rank
@@ Property / cites work @@
+Bayesian stochastic search for VAR model restrictions
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Least Squares Model Averaging
@@ Property / cites work: Least Squares Model Averaging / rank @@
+Normal rank
@@ Property / cites work @@
+Least-squares forecast averaging
@@ Property / cites work: Least-squares forecast averaging / rank @@
+Normal rank
@@ Property / cites work @@
+Model averaging, asymptotic risk, and regressor groups
+Normal rank
@@ Property / cites work @@
+Jackknife model averaging
@@ Property / cites work: Jackknife model averaging / rank @@
+Normal rank
@@ Property / cites work @@
+Selecting optimal multistep predictors for autoregressive processes of unknown order.
+Normal rank
@@ Property / cites work @@
+Order selection for same-realization predictions in autoregressive processes
+Normal rank
@@ Property / cites work @@
+Multivariate functional-coefficient regression models for nonlinear vector time series data
+Normal rank
@@ Property / cites work @@
+Prediction of multivariate time series by autoregressive model fitting
+Normal rank
@@ Property / cites work @@
+Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
+Normal rank
@@ Property / cites work @@
+Single‐Index Additive Vector Autoregressive Time Series Models
+Normal rank
@@ Property / cites work @@
+Optimal Weight Choice for Frequentist Model Average Estimators
+Normal rank
@@ Property / cites work @@
+Heteroscedasticity‐robust<i>Cp</i>model averaging
+Normal rank
@@ Property / cites work @@
+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
+Normal rank
@@ Property / cites work @@
+Testing and Modeling Multivariate Threshold Models
+Normal rank
@@ Property / cites work @@
+Q2871093
@@ Property / cites work: Q2871093 / rank @@
+Normal rank
@@ Property / cites work @@
+Least squares model averaging by Mallows criterion
+Normal rank
@@ Property / cites work @@
+Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
+Normal rank
@@ Property / cites work @@
+Q3283298
@@ Property / cites work: Q3283298 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic optimality and efficient computation of the leave-subject-out cross-validation
+Normal rank
@@ Property / cites work @@
+Model averaging by jackknife criterion in models with dependent data
+Normal rank
@@ Property / Wikidata QID @@
+Q128724999
@@ Property / Wikidata QID: Q128724999 / rank @@
+Normal rank