Optimal multistep VAR forecast averaging
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Stationary stochastic processes (60G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
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Cites work
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
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- Asymptotically efficient autoregressive model selection for multistep prediction
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Bayesian forecast combination for VAR models
- Econometric Model Determination
- Efficient shrinkage in parametric models
- Forecasting and conditional projection using realistic prior distributions
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- Jackknife model averaging
- Least Squares Model Averaging
- Least squares model averaging by Mallows criterion
- Least-squares forecast averaging
- Model averaging based on leave-subject-out cross-validation
- Model averaging by jackknife criterion in models with dependent data
- Model Selection
- Modeling Multiple Times Series with Applications
- Modified AIC and Cp in multivariate linear regression
- Multistep prediction in autoregressive processes
- Nonparametric Multistep-Ahead Prediction in Time Series Analysis
- On same-realization prediction in an infinite-order autoregressive process.
- ON VARIABLE SELECTION IN LINEAR REGRESSION
- Order selection for same-realization predictions in autoregressive processes
- Pooling of forecasts
- Prediction of multivariate time series by autoregressive model fitting
- Properties of Predictors in Misspecified Autoregressive Time Series Models
- Regularized estimation in sparse high-dimensional time series models
- Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood
- Subset selection for vector autoregressive processes using Lasso
- Subset selection for vector autoregressive processes via adaptive Lasso
- The multivariate Cp
- Toward optimal model averaging in regression models with time series errors
- Two-step adaptive model selection for vector autoregressive processes
- VAR forecasting under misspecification
- Variable selection, estimation and inference for multi-period forecasting problems
Cited in
(8)- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- Model averaging for interval-valued data
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Model averaging prediction by K-fold cross-validation
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Bregman model averaging for forecast combination
- Model averaging prediction for possibly nonstationary autoregressions
- Model averaging for time-varying vector autoregressions
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