Generalised density forecast combinations (Q2354855): Difference between revisions

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+A survey of cross-validation procedures for model selection
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+Time-varying combinations of predictive densities using nonlinear filtering
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+Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
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+Sieve Extremum Estimates for Weakly Dependent Data
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+Q2723584
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+Dynamic prediction pools: an investigation of financial frictions and forecasting performance
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+Likelihood-based scoring rules for comparing density forecasts in tails
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+Optimal prediction pools
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+Tests of Conditional Predictive Ability
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+Strictly Proper Scoring Rules, Prediction, and Estimation
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+Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
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+Combining predictive distributions
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+Subsampling inference in threshold autoregressive models
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+Q4397010
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+Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
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+A nonlinear panel data model of cross-sectional dependence
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+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
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+Subsampling
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+Confronting model misspecification in macroeconomics
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