Time-varying model averaging
DOI10.1016/J.JECONOM.2020.02.006zbMATH Open1471.62543OpenAlexW3014121187MaRDI QIDQ2024462FDOQ2024462
Yongmiao Hong, Xinyu Zhang, Tae-Hwy Lee, Yuying Sun, Shouyang Wang
Publication date: 4 May 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://economics.ucr.edu/repec/ucr/wpaper/202001.pdf
local stationarityforecast combinationmodel averagingstructural changeasymptotic optimalitytime-varying model averaging
Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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Cited In (15)
- Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
- Model averaging for asymptotically optimal combined forecasts
- Estimation, Inference, and Empirical Analysis for Time-Varying VAR Models
- Post-averaging inference for optimal model averaging estimator in generalized linear models
- Model averaging prediction by \(K\)-fold cross-validation
- Penalized Mallow’s model averaging
- Specification tests for time-varying coefficient models
- Toward optimal model averaging in regression models with time series errors
- Model averaging for interval-valued data
- Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
- Optimal model averaging for semiparametric partially linear models with measurement errors
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Penalized time-varying model averaging
- Outlier robust model averaging based on \(_{}\) criterion
- Averaging with a time-dependent perturbation parameter
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