Forecasting cointegrated nonstationary time series with time-varying variance
Year of publication: |
January 2017
|
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Authors: | Tu, Yundong ; Yi, Yanping |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 196.2017, 1, p. 83-98
|
Subject: | Cointegration | Error correction model | Model averaging | Pre-testing | Time-varying variance | Kointegration | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory |
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