Predictive model averaging with parameter instability and heteroskedasticity
Year of publication: |
2024
|
---|---|
Authors: | Yin, Anwen |
Published in: |
Bulletin of economic research. - Oxford : Wiley-Blackwell, ISSN 1467-8586, ZDB-ID 1473655-X. - Vol. 76.2024, 2, p. 418-442
|
Subject: | conditional heteroskedasticity | cross-validation | forecast combination | model averaging | structural break | Prognoseverfahren | Forecasting model | Strukturbruch | Structural break | Heteroskedastizität | Heteroscedasticity | Schätztheorie | Estimation theory | Modellierung | Scientific modelling | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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