Optimal multistep VAR forecast averaging

DOI10.1017/S0266466619000434MaRDI QIDQ5859564zbMATH OpenOpenAlexFDO

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

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)

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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

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• chemometrics

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