Shrinkage estimation and forecasting in dynamic regression models under structural instability

DOI10.1515/JEM-2023-0036MaRDI QIDQ6656775FDOQ6656775

Authors: Ali Mehrabani, Shahnaz Parsaeian, Aman Ullah 

Publication date: 3 January 2025

Published in: Journal of Econometric Methods (Search for Journal in Brave)

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zbMATH Keywords

forecastingstructural breaksasymptotic approximationunit rootARX-modelnon-stationary regressors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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