Model averaging prediction for time series models with a diverging number of parameters

DOI10.1016/j.jeconom.2020.10.004zbMath1471.62469MaRDI QIDQ2024480

Yan Gao, Jun Liao, Xinyu Zhang, Guo Hua Zou

Publication date: 4 May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.10.004

zbMATH Keywords

consistency; asymptotic optimality; Mallows criterion; model averaging; autoregressive process

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Time-varying forecast combination for factor-augmented regressions with smooth structural changes, Model averaging multistep prediction in an infinite order autoregressive process

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