Least-squares forecast averaging

DOI10.1016/j.jeconom.2008.08.022zbMath1429.62421MaRDI QIDQ299227

Bruce E. Hansen

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.022

zbMATH Keywords

BMA; model selection; forecast combination; AIC; BIC; Mallows

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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