Forecasting cointegrated nonstationary time series with time-varying variance

DOI10.1016/J.JECONOM.2016.09.012MaRDI QIDQ341895zbMATH OpenOpenAlexFDO

Authors Yundong Tu, Yanping Yi

Publication date 17 November 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.09.012

zbMATH Keywords

cointegrationmodel averagingerror correction modelpre-testingtime-varying variance

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
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• EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
• Econometric Model Determination
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• Evaluating the `Fed Model' of stock price valuation: an out-of-sample forecasting perspective
• Inference in Autoregression under Heteroskedasticity
• Jackknife model averaging
• Least Squares Model Averaging
• Least-squares forecast averaging
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• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Pooling of forecasts
• SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Semiparametric cointegrating rank selection
• Some Comments on C P
• Specification via model selection in vector error correction models
• Testing for covariance stationarity in stock market data
• Testing for unit roots in time series models with non-stationary volatility
• Unit Root Tests under Time-Varying Variances

Cited in

(6)

• Restricted VaR forecasts of economic time series with contemporaneous constraints
• Forecasting vector autoregressions with mixed roots in the vicinity of unity
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Forecasting cointegrated VARMA processes
• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
• Estimation for double-nonlinear cointegration

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