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Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations

Magnus, Jan R.; Vasnev, Andrey L. - In: International journal of forecasting 31 (2015) 3, pp. 769-781

Persistent link: https://www.econbiz.de/10011474558

Forecast combination for discrete choice models : predicting FOMC monetary policy decisions

Pauwels, Laurent L.; Vasnev, Andrey L. - In: Empirical economics : a journal of the Institute for … 52 (2017) 1, pp. 229-254

Persistent link: https://www.econbiz.de/10011631651

A note on the estimation of optimal weights for density forecast combinations

Pauwels, Laurent L.; Vasnev, Andrey L. - In: International journal of forecasting 32 (2016) 2, pp. 391-397

Persistent link: https://www.econbiz.de/10011597122

Optimal selection of expert forecasts with integer programming

Matsypura, Dmytro; Thompson, Ryan; Vasnev, Andrey L. - In: Omega : the international journal of management science 78 (2018), pp. 165-175

Persistent link: https://www.econbiz.de/10011859746

The forecast combination puzzle : a simple theoretical explanation

Claeskens, Gerda; Magnus, Jan R.; Vasnev, Andrey L.; … - In: International journal of forecasting 32 (2016) 3, pp. 754-762

Persistent link: https://www.econbiz.de/10011621807

On the uncertainty of a combined forecast : the critical role of correlation

Magnus, Jan R.; Vasnev, Andrey L. - In: International journal of forecasting 39 (2023) 4, pp. 1895-1908

Persistent link: https://www.econbiz.de/10014465366

Radchenko, Peter; Vasnev, Andrey L.; Wang, Wendun - In: International journal of forecasting 39 (2023) 1, pp. 18-38

Persistent link: https://www.econbiz.de/10014462763

Sensitivity of GLS estimators in random effects models

Vasnev, Andrey L. - In: Journal of Multivariate Analysis 101 (2010) 5, pp. 1252-1262

This paper studies the sensitivity of random effects estimators in the one-way error component regression model. Maddala and Mount (1973)Â [6] give simulation evidence that in random effects models the properties of the feasible GLS estimator are not affected by the choice of the first-step...

Persistent link: https://www.econbiz.de/10008550976

Flexible global forecast combinations

Thompson, Ryan; Qian, Yilin; Vasnev, Andrey L. - In: Omega : the international journal of management science 126 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014534256