Model averaging prediction for time series models with a diverging number of parameters
Jun Liao, Guohua Zou, Yan Gao, Xinyu Zhang
| Year of publication: |
2021
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|---|---|
| Authors: | Liao, Jun ; Zou, Guohua ; Gao, Yan ; Zhang, Xinyu |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 223.2021, 1, p. 190-221
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| Subject: | Model averaging | Asymptotic optimality | Autoregressive process | Consistency | Mallows criterion | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Autokorrelation | Autocorrelation | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.10.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619966