Generalized forecast averaging in autoregressions with a near unit root
Year of publication: |
2021
|
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Authors: | Kejriwal, Mohitosh ; Yu, Xuewen |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 24.2021, 1, p. 83-102
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Subject: | Model averaging | local to unity | generalized least squares | forecast combination | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Kleinste-Quadrate-Methode | Least squares method | Schätztheorie | Estimation theory | Einheitswurzeltest | Unit root test | Autokorrelation | Autocorrelation | Modellierung | Scientific modelling |
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