Forecasting cointegrated nonstationary time series with time-varying variance

DOI10.1016/J.JECONOM.2016.09.012zbMATH Open1443.62290OpenAlexW2531444989MaRDI QIDQ341895FDOQ341895

Yanping Yi, Yundong Tu

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

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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)

Cites Work

• Some Comments on C P
• Least-squares forecast averaging
• Title not available (Why is that?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
• Efficient Tests for an Autoregressive Unit Root
• Adaptive estimation of autoregressive models with time-varying variances
• Pooling of forecasts
• Unit Root Tests under Time-Varying Variances
• Testing for unit roots in time series models with non-stationary volatility
• Distribution theory of the least squares averaging estimator
• A modified information criterion for cointegration tests based on a VAR approximation
• Least Squares Model Averaging
• Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
• Jackknife model averaging
• Inference in Autoregression under Heteroskedasticity
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• A flexible semiparametric forecasting model for time series
• Specification via model selection in vector error correction models
• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Testing for covariance stationarity in stock market data
• Model averaging by jackknife criterion in models with dependent data
• Semiparametric cointegrating rank selection
• Evaluating the ‘Fed Model’ of Stock Price Valuation: An out-of-sample forecasting perspective
• EFFICIENT DETRENDING IN COINTEGRATING REGRESSION
• SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
• Econometric Model Determination
• Cointegrating rank selection in models with time-varying variance
• Averaging estimators for autoregressions with a near unit root

Cited In (4)

• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
• Estimation for double-nonlinear cointegration
• Forecasting vector autoregressions with mixed roots in the vicinity of unity

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