Toward optimal model averaging in regression models with time series errors

DOI10.1016/j.jeconom.2015.03.026zbMath1337.62250arXiv1503.06401OpenAlexW1984568143MaRDI QIDQ888324

Shu-Hui Yu, Ching-Kang Ing, Tzu-Chang F. Cheng

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.06401

zbMATH Keywords

asymptotic efficiencytime series errorshigh-dimensional covariance matrixautocovariance-corrected Mallows model averagingbanded Cholesky factorizationfeasible generalized least squares estimator

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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