Time-varying model averaging
Year of publication: |
2021
|
---|---|
Authors: | Sun, Yuying ; Hong, Yongmiao ; Lee, Tae-hwy ; Wang, Shouyang ; Zhang, Xinyu |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 2, p. 974-992
|
Subject: | Asymptotic optimality | Forecast combination | Local stationarity | Model averaging | Structural change | Time-varying model averaging | Prognoseverfahren | Forecasting model | Theorie | Theory | Modellierung | Scientific modelling | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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