Least-squares forecast averaging

DOI10.1016/J.JECONOM.2008.08.022zbMATH Open1429.62421OpenAlexW2028147019MaRDI QIDQ299227FDOQ299227

Authors: Bruce E. Hansen 

Publication date: 22 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.08.022

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zbMATH Keywords

BMAmodel selectionBICAICforecast combinationMallows

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited In (74)

• OPTIMAL MULTISTEP VAR FORECAST AVERAGING
• Focused information criterion for locally misspecified vector autoregressive models
• Kernel Averaging Estimators
• Model averaging prediction by \(K\)-fold cross-validation
• Jackknife model averaging for composite quantile regression
• Penalized Mallow’s model averaging
• AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories
• A model‐averaging treatment of multiple instruments in Poisson models with errors
• Survey-Based Forecasting: To Average or Not to Average
• Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
• Time-varying forecast combination for factor-augmented regressions with smooth structural changes
• Jackknife model averaging for linear regression models with missing responses
• Title not available (Why is that?)
• Optimal model averaging based on forward-validation
• Weighted-Average Least Squares Prediction
• Predictive model averaging with parameter instability and heteroskedasticity
• Robust inference in AR-G/GARCH models under model uncertainty
• Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
• Generalized Least Squares Model Averaging
• Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
• A semiparametric generalized ridge estimator and link with model averaging
• Model averaging for asymptotically optimal combined forecasts
• Adaptively combined forecasting for discrete response time series
• Order selection for possibly infinite-order non-stationary time series
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
• Model averaging by jackknife criterion in models with dependent data
• Averaging of an increasing number of moment condition estimators
• Asymptotic optimality of the nonnegative garrote estimator under heteroscedastic errors
• Complete subset regressions with large-dimensional sets of predictors
• Model averaging based on leave-subject-out cross-validation for vector autoregressions
• Jackknife model averaging for quantile regressions
• Optimal model averaging estimator for semi-functional partially linear models
• To combine forecasts or to combine information?
• Focused information criterion and model averaging in censored quantile regression
• Interval estimation by frequentist model averaging
• Least squares model averaging by Mallows criterion
• Model averaging for generalized linear models with missing at random covariates
• Time-varying combinations of predictive densities using nonlinear filtering
• Average estimation of semiparametric models for high-dimensional longitudinal data
• Model averaging for varying-coefficient partially linear measurement error models
• Robust forecast combinations
• Forecasting using random subspace methods
• Estimating average treatment effect by model averaging
• False posteriors for the long-term growth determinants
• Frequentist model averaging with missing observations
• Penalized time-varying model averaging
• Model averaging based on James-Stein estimators
• Frequentist model averaging for threshold models
• Is there an optimal forecast combination?
• Forecasting cointegrated nonstationary time series with time-varying variance
• Composite quantile regression for ultra-high dimensional semiparametric model averaging
• Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK
• CRPS Learning
• Model averaging marginal regression for high dimensional conditional quantile prediction
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• When and when not to use optimal model averaging
• Forecasting time series of economic processes by model averaging across data frames of various lengths
• Estimating the variance of a combined forecast: bootstrap-based approach
• Model averaging prediction for time series models with a diverging number of parameters
• Time-varying model averaging
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Averaging estimators for autoregressions with a near unit root
• Frequentist model averaging estimation: a review
• Model averaging multistep prediction in an infinite order autoregressive process
• Combined forecasts in portfolio optimization: a generalized approach
• Frequentist model averaging for linear mixed-effects models
• Forecast Combination and Model Averaging Using Predictive Measures
• INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS
• Least squares model averaging based on generalized cross validation
• Title not available (Why is that?)
• Corrected Mallows criterion for model averaging
• Robustify Financial Time Series Forecasting with Bagging
• Title not available (Why is that?)
• On asymptotic risk of selecting models for possibly nonstationary time-series

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