Optimal Multi-Step VAR Forecasting Averaging

Author:

Liao Jen-Che,Tsay Wen-Jen

Publisher

Elsevier BV

Reference38 articles.

1. Bayesian Forecast Combination for VAR Models

2. Asymptotic Optimality of Generalized CL, Cross-validation, and Generalized Cross-validation in Regression with Heteroskedastic Errors;D W K Andrews;Journal of Econometrics,1991

3. Consistent Autoregressive Spectral Estimates;K N Berk;The Annals of Statistics,1974

4. Direct Autoregressive Predictors for Multistep Prediction: Order Selection and Performance Relative to the Plug in Predictors;R J Bhansali;Asymptotics, Nonparametrics and Time Series,1996

5. Nonparametric Multistep-Ahead Prediction in Time Series Analysis;R Chen;Journal of the Royal Statistical Society. Series B (Statistical Methodology),2004

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