Model averaging in predictive regressions

DOI10.1111/ECTJ.12063MaRDI QIDQ5093939zbMATH OpenOpenAlexFDO

Authors Biing-Shen Kuo, Chuan Liu

Publication date 2 August 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/54198/1/MPRA_paper_54198.pdf

zbMATH Keywords

forecast combinationplug-in estimatorslocal asymptotic theory

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(27)

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• Model averaging, asymptotic risk, and regressor groups
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• Focused information criterion for locally misspecified vector autoregressive models
• Quantile aggregation and combination for stock return prediction
• Optimal model averaging for divergent-dimensional Poisson regressions
• Model averaging for interval-valued data
• On the least-squares model averaging interval estimator
• Optimal multistep VAR forecast averaging
• Optimal model averaging for joint value-at-risk and expected shortfall regression
• Forecasting using predictive likelihood model averaging
• Penalized time-varying model averaging
• Joint inference based on Stein-type averaging estimators in the linear regression model
• Research of fund performance prediction based on model averaging method
• Least-squares forecast averaging
• Optimal model averaging based on forward-validation
• When and when not to use optimal model averaging
• Averaging estimators for autoregressions with a near unit root
• Estimating the variance of a combined forecast: bootstrap-based approach
• Prediction model averaging estimator
• Forecast Combination and Model Averaging Using Predictive Measures
• Bregman model averaging for forecast combination
• Forecast combination and Bayesian model averaging: a prior sensitivity analysis
• Optimal prediction pools
• Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
• Frequentist model averaging in structural equation modelling

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