Model averaging based on leave-subject-out cross-validation for vector autoregressions
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Publication:1740272
DOI10.1016/j.jeconom.2018.10.007zbMath1452.62657WikidataQ128724999 ScholiaQ128724999MaRDI QIDQ1740272
Xinyu Zhang, Jun Liao, Xianpeng Zong, Guo Hua Zou
Publication date: 30 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.10.007
consistency; vector autoregressions; asymptotic optimality; model averaging; leave-subject-out cross-validation
62P20: Applications of statistics to economics
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
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