Forecasting With Model Uncertainty: Representations and Risk Reduction

DOI10.3982/ECTA13372zbMath1410.62167OpenAlexW2184571464MaRDI QIDQ4612508

Keisuke Hirano, Jonathan H. Wright

Publication date: 31 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta13372

zbMATH Keywords

Akaike information criterionRao-Blackwell theoremshrinkagebaggingmodel choiceout-of-sample

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Statistical aspects of information-theoretic topics (62B10)

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