Least-squares forecast averaging (Q299227)

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Language	Label	Description	Also known as
English	Least-squares forecast averaging	scientific article

Statements

scholarly article

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Least-squares forecast averaging (English)

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Bruce E. Hansen

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Journal of Econometrics

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publication date

22 June 2016

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zbMATH Keywords

Mallows

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AIC

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BIC

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BMA

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forecast combination

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model selection

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jeconom.2008.08.022

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A Bayesian extension of the minimum AIC procedure of autoregressive model fitting

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Asymptotically efficient autoregressive model selection for multistep prediction

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Model Selection: An Integral Part of Inference

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Model Selection and Multimodel Inference

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Benchmark priors for Bayesian model averaging.

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Least Squares Model Averaging

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Pooling of forecasts

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Frequentist Model Average Estimators

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Bayesian model averaging: A tutorial. (with comments and a rejoinder).

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MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES

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Selecting optimal multistep predictors for autoregressive processes of unknown order.

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Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series

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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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Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set

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Some Comments on C P

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Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates

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Estimating the dimension of a model

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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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Handbook of economic forecasting. Volume 1

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Identifiers

zbMATH Open document ID

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10.1016/j.jeconom.2008.08.022

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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:299227

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