Model averaging based on leave-subject-out cross-validation for vector autoregressions

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

zbMATH Keywords

consistency; vector autoregressions; asymptotic optimality; model averaging; leave-subject-out cross-validation

Mathematics Subject Classification ID

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

Related Items

Model averaging for generalized linear models in fragmentary data prediction, AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS, Forecasting vector autoregressions with mixed roots in the vicinity of unity, Penalized time-varying model averaging, Multifold Cross-Validation Model Averaging for Generalized Additive Partial Linear Models, Time-varying forecast combination for factor-augmented regressions with smooth structural changes, Optimal model averaging for multivariate regression models, Mallows model averaging with effective model size in fragmentary data prediction, Limit of the optimal weight in least squares model averaging with non-nested models, Corrected Mallows criterion for model averaging

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