A flexible semiparametric forecasting model for time series

DOI10.1016/j.jeconom.2015.02.025zbMath1337.62271OpenAlexW2147320840MaRDI QIDQ494408

Degui Li, Zu-di Lu, Oliver B. Linton

Publication date: 1 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.025

zbMATH Keywords

kernel estimationsemiparametric estimationforecastingmodel averagingnear epoch dependencemarginal regression

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items

Model averaging for generalized linear models in fragmentary data prediction, AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories, Model averaging estimation for varying-coefficient single-index models, Optimal Model Averaging Based on Generalized Method of Moments, Model averaging assisted sufficient dimension reduction, Semiparametric dynamic portfolio choice with multiple conditioning variables, Mallows model averaging with effective model size in fragmentary data prediction, Semiparametric model averaging prediction for dichotomous response, Forecasting cointegrated nonstationary time series with time-varying variance, Averaging estimation for conditional covariance models, On the dominance of Mallows model averaging estimator over ordinary least squares estimator, Asymptotics of estimators for nonparametric multivariate regression models with long memory, AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS, A model‐averaging treatment of multiple instruments in Poisson models with errors, Nonparametric instrument model averaging, Penalized time-varying model averaging, Semiparametric model averaging for ultrahigh-dimensional conditional quantile prediction, Semiparametric model averaging method for survival probability predictions of patients, Model averaging for semiparametric varying coefficient quantile regression models, Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions, Semiparametric model average prediction in panel data analysis, Composite quantile regression for ultra-high dimensional semiparametric model averaging, Multimodel inference based on smoothed information criteria, Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series, Model averaging marginal regression for high dimensional conditional quantile prediction, Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing, A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

Uses Software

• KernSmooth

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
• Nonparametric transformation to white noise
• Statistics for high-dimensional data. Methods, theory and applications.
• Profile-kernel likelihood inference with diverging number of parameters
• Nonlinear time series. Nonparametric and parametric methods
• Nonconcave penalized likelihood with a diverging number of parameters.
• Consistent estimation of a general nonparametric regression function in time series
• Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models
• Optimal Weight Choice for Frequentist Model Average Estimators
• LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
• A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
• Model Selection and Model Averaging
• An Optimization Interpretation of Integration and Back-Fitting Estimators for Separable Nonparametric Models
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Generalized Spectral Tests for Serial Dependence
• EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
• LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE
• Sure Independence Screening for Ultrahigh Dimensional Feature Space
• Smooth Backfitting in Practice
• A Statistical View of Some Chemometrics Regression Tools
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Modelling Nonlinear Economic Time Series
• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1
• Least Squares Model Averaging
• Asymptotic normality of kernel density estimators under dependence