OPTIMAL MULTISTEP VAR FORECAST AVERAGING (Q5859564): Difference between revisions

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+Bayesian forecast combination for VAR models☆
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+Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
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+Regularized estimation in sparse high-dimensional time series models
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+Asymptotically efficient autoregressive model selection for multistep prediction
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+Nonparametric Multistep-Ahead Prediction in Time Series Analysis
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+Toward optimal model averaging in regression models with time series errors
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+Forecasting with factor-augmented regression: a frequentist model averaging approach
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+Forecasting and conditional projection using realistic prior distributions
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+Q2857562
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+AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
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+Modified AIC and Cp in multivariate linear regression
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+Model averaging based on leave-subject-out cross-validation
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+Least Squares Model Averaging
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+Least-squares forecast averaging
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+Efficient shrinkage in parametric models
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+Jackknife model averaging
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+Pooling of forecasts
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+Subset selection for vector autoregressive processes using Lasso
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+MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES
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+On same-realization prediction in an infinite-order autoregressive process.
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+Order selection for same-realization predictions in autoregressive processes
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+ON VARIABLE SELECTION IN LINEAR REGRESSION
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+Properties of Predictors in Misspecified Autoregressive Time Series Models
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+Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood
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+Model Selection
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+Prediction of multivariate time series by autoregressive model fitting
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+Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
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+Generalized Least Squares Model Averaging
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+Q5312885
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+A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
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+Variable selection, estimation and inference for multi-period forecasting problems
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+Econometric Model Determination
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+Two-step adaptive model selection for vector autoregressive processes
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+Subset selection for vector autoregressive processes via adaptive Lasso
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+VAR forecasting under misspecification
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+Q4344404
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+Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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+An optimal selection of regression variables
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+Asymptotic mean efficiency of a selection of regression variables
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+The multivariate C<sub>p</sub>
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+Modeling Multiple Times Series with Applications
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+Least squares model averaging by Mallows criterion
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+An unbiased \(C_p\) criterion for multivariate ridge regression
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+An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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+Model averaging by jackknife criterion in models with dependent data
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+https://doi.org/10.1017/s0266466619000434
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+W3012989376
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+Publication:5859564