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

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scientific article; zbMATH DE number 7334499

Language	Label	Description	Also known as
English	OPTIMAL MULTISTEP VAR FORECAST AVERAGING	scientific article; zbMATH DE number 7334499

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scholarly article

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OPTIMAL MULTISTEP VAR FORECAST AVERAGING (English)

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Econometric Theory

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publication date

16 April 2021

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zbMATH Keywords

vector autoregressive (VAR) model

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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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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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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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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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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full work available at URL

https://doi.org/10.1017/s0266466619000434

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Identifiers

zbMATH Open document ID

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10.1017/S0266466619000434

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5859564

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