Forecast Selection in Unstable Environments

DOI10.1080/07350015.2025.2546444MaRDI QIDQ7322014zbMATH OpenFDO

Authors Ekaterina Smetanina

Publication date 31 August 2026

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2025.2546444

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Asymptotic Inference about Predictive Ability
• Bootstrapping locally stationary processes
• Conditional predictive density evaluation in the presence of instabilities
• Conditional rotation between forecasting models
• Efficient Estimation and Inferences for Varying-Coefficient Models
• Empirical process theory for locally stationary processes
• Exploiting the errors: a simple approach for improved volatility forecasting
• Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
• scientific article; zbMATH DE number 168803 (Why is no real title available?)
• Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Inference of time-varying regression models
• Nonlinear system theory: Another look at dependence
• Non‐parametric detection and estimation of structural change
• Tests of Conditional Predictive Ability
• Time series: theory and methods.
• Towards a general theory for nonlinear locally stationary processes

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