Generalized Forecast Averaging in Autoregressions with a Near Unit Root

DOI10.1093/ECTJ/UTAA006OpenAlexW3005473787MaRDI QIDQ5083250FDOQ5083250

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

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zbMATH Keywords

forecast combinationmodel averaginglocal to unitygeneralized least squares

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (1)

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

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