Time-varying forecast combination for factor-augmented regressions with smooth structural changes
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Publication:6199635
DOI10.1016/j.jeconom.2024.105693MaRDI QIDQ6199635
Yongmiao Hong, Qitong Chen, Haiqi Li
Publication date: 21 March 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
forecast combinationfactor-augmented regressionsmooth structural changeslocal leave-\(l\)-out cross-validation
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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