Forecasting with model uncertainty: representations and risk reduction

DOI10.3982/ECTA13372MaRDI QIDQ4612508zbMATH OpenOpenAlexFDO

Authors Keisuke Hirano, Jonathan H. Wright

Publication date 31 January 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta13372

zbMATH Keywords

Akaike information criterionbaggingmodel choiceout-of-sampleRao-Blackwell theoremshrinkage

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

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Cited in

(7)

• Forecasting using random subspace methods
• On LASSO for predictive regression
• Toward robust early-warning models: a horse race, ensembles and model uncertainty
• DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
• Model averaging for asymptotically optimal combined forecasts
• A jackknife bias correction for nonlinear network data models with fixed effects
• Bregman model averaging for forecast combination

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