Generalized Forecast Averaging in Autoregressions with a Near Unit Root

DOI10.1093/ECTJ/UTAA006MaRDI QIDQ5083250zbMATH OpenOpenAlexFDO

Authors Mohitosh Kejriwal, Xuewen Yu

Publication date 22 June 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/ectj/utaa006

zbMATH Keywords

forecast combinationmodel averaginglocal to unitygeneralized least squares

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(1)

• Forecast Functions Implied by Autoregressive Integrated Moving Average Models and Other Related Forecast Procedures

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