Predictive model averaging with parameter instability and heteroskedasticity

DOI10.1111/BOER.12429MaRDI QIDQ6540716zbMATH OpenFDO

Authors Anwen Yin

Publication date 17 May 2024

Published in Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/BOER.12429

zbMATH Keywords

conditional heteroskedasticitycross-validationforecast combinationmodel averagingstructural break

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Averaging estimators for regressions with a possible structural break
• Bayesian model averaging and exchange rate forecasts
• Complete subset regressions
• Does modeling a structural break improve forecast accuracy?
• Estimating and Testing Linear Models with Multiple Structural Changes
• Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Frequentist Model Average Estimators
• Jackknife model averaging
• Least Squares Model Averaging
• Least-squares forecast averaging
• Model averaging, asymptotic risk, and regressor groups
• Model Selection and Model Averaging
• Robust forecast combinations
• Selection of estimation window in the presence of breaks
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Model Confidence Set

This page was built for publication: Predictive model averaging with parameter instability and heteroskedasticity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6540716)