Optimal multistep VAR forecast averaging

DOI10.1017/S0266466619000434zbMATH Open1462.62540OpenAlexW3012989376MaRDI QIDQ5859564FDOQ5859564

Authors: Jen-Che Liao, Wen-Jen Tsay 

Publication date: 16 April 2021

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466619000434

Recommendations

• Least-squares forecast averaging
• Model averaging based on leave-subject-out cross-validation for vector autoregressions
• Model averaging for interval-valued data
• Model averaging in predictive regressions
• Forecasting with factor-augmented regression: a frequentist model averaging approach

zbMATH Keywords

vector autoregressive (VAR) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Stationary stochastic processes (60G10)

Cites Work

• Regularized estimation in sparse high-dimensional time series models
• Least-squares forecast averaging
• Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Title not available (Why is that?)
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Subset selection for vector autoregressive processes using Lasso
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Title not available (Why is that?)
• Forecasting and conditional projection using realistic prior distributions
• Modeling Multiple Times Series with Applications
• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• Asymptotically efficient autoregressive model selection for multistep prediction
• Title not available (Why is that?)
• Prediction of multivariate time series by autoregressive model fitting
• On same-realization prediction in an infinite-order autoregressive process.
• AIC, overfitting principles, and the boundedness of moments of inverse matrices for vector autotregressions and related models.
• VAR forecasting under misspecification
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Title not available (Why is that?)
• Multistep prediction in autoregressive processes
• Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
• Pooling of forecasts
• An optimal selection of regression variables
• Least squares model averaging by Mallows criterion
• Least Squares Model Averaging
• Jackknife model averaging
• Toward optimal model averaging in regression models with time series errors
• Efficient shrinkage in parametric models
• Subset selection for vector autoregressive processes via adaptive Lasso
• Properties of Predictors in Misspecified Autoregressive Time Series Models
• Modified AIC and Cp in multivariate linear regression
• ON VARIABLE SELECTION IN LINEAR REGRESSION
• Title not available (Why is that?)
• Asymptotic mean efficiency of a selection of regression variables
• Order selection for same-realization predictions in autoregressive processes
• Bayesian forecast combination for VAR models
• Model Selection
• Model averaging by jackknife criterion in models with dependent data
• Econometric Model Determination
• The multivariate C_p
• Two-step adaptive model selection for vector autoregressive processes
• An unbiased \(C_p\) criterion for multivariate ridge regression
• Variable selection, estimation and inference for multi-period forecasting problems
• Nonparametric Multistep-Ahead Prediction in Time Series Analysis
• Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
• Model averaging based on leave-subject-out cross-validation
• Generalized Least Squares Model Averaging

Cited In (4)

• Model averaging prediction by \(K\)-fold cross-validation
• Model averaging for interval-valued data
• Time-varying forecast combination for factor-augmented regressions with smooth structural changes
• Forecasting vector autoregressions with mixed roots in the vicinity of unity

Uses Software

• chemometrics

This page was built for publication: Optimal multistep VAR forecast averaging

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5859564)