A flexible semiparametric forecasting model for time series
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Publication:494408
DOI10.1016/J.JECONOM.2015.02.025zbMATH Open1337.62271OpenAlexW2147320840MaRDI QIDQ494408FDOQ494408
Authors: Degui Li, Oliver Linton, Zudi Lu 
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
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forecastingkernel estimationsemiparametric estimationmodel averagingnear epoch dependencemarginal regression
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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Cited In (34)
- Model averaging assisted sufficient dimension reduction
- Semiparametric model average prediction in panel data analysis
- Averaging estimation for conditional covariance models
- AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
- Multimodel inference based on smoothed information criteria
- Time series central subspace with covariates and its application to forecasting pine sawtimber stumpage prices in the Southern United States
- Semiparametric distribution forecasting
- AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories
- Model averaging for semiparametric varying coefficient quantile regression models
- Semiparametric dynamic portfolio choice with multiple conditioning variables
- Mallows model averaging with effective model size in fragmentary data prediction
- A model‐averaging treatment of multiple instruments in Poisson models with errors
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- Semiparametric model averaging method for survival probability predictions of patients
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- Martingale-residual-based greedy model averaging for high-dimensional current status data
- Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
- Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
- Instrumental variable model average with applications in Mendelian randomization
- On the dominance of Mallows model averaging estimator over ordinary least squares estimator
- Penalized time-varying model averaging
- Asymptotics of estimators for nonparametric multivariate regression models with long memory
- Semiparametric model averaging prediction for dichotomous response
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- Forecasting cointegrated nonstationary time series with time-varying variance
- Composite quantile regression for ultra-high dimensional semiparametric model averaging
- Model averaging marginal regression for high dimensional conditional quantile prediction
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- Nonparametric instrument model averaging
- Model averaging estimation for varying-coefficient single-index models
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- Model averaging estimation for generalized partially linear varying-coefficient models
- Optimal Model Averaging Based on Generalized Method of Moments
- Semiparametric model averaging for ultrahigh-dimensional conditional quantile prediction
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