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Forecasting with factor-augmented regression : a frequentist model averaging approach

Cheng, Xu; Hansen, Bruce E. - In: Journal of econometrics 186 (2015) 2, pp. 280-293

Persistent link: https://www.econbiz.de/10011349480

Generalized forecast averaging in autoregressions with a near unit root

Kejriwal, Mohitosh; Yu, Xuewen - 2019

Persistent link: https://www.econbiz.de/10012139722

GEFCom2014 probabilistic electric load forecasting : an integrated solution with forecast combination and residual simulation

Xie, Jingrui; Tao, Hong - In: International journal of forecasting 32 (2016) 3, pp. 1012-1016

Persistent link: https://www.econbiz.de/10011621984

Cross-validation aggregation for combining autoregressive neural network forecasts

Barrow, Devon K.; Crone, Sven F. - In: International journal of forecasting 32 (2016) 4, pp. 1120-1137

Persistent link: https://www.econbiz.de/10011622112

Generalized forecast averaging in autoregressions with a near unit root

Kejriwal, Mohitosh; Yu, Xuewen - In: The econometrics journal 24 (2021) 1, pp. 83-102

Persistent link: https://www.econbiz.de/10012504451

Model averaging in predictive regressions

Liu, Chu-An; Kuo, Biing-shen - In: The econometrics journal 19 (2016) 2, pp. 203-231

Persistent link: https://www.econbiz.de/10011712181

Predictive model averaging with parameter instability and heteroskedasticity

Yin, Anwen - In: Bulletin of economic research 76 (2024) 2, pp. 418-442

Persistent link: https://www.econbiz.de/10014543814

A robust method for microforecasting and estimation of random effects

Giacomini, Raffaella; Lee, Sokbae; Sarpietro, Silvia - 2023

We propose a method for forecasting individual outcomes and estimating random effects in linear panel data models and value-added models when the panel has a short time dimension. The method is robust, trivial to implement and requires minimal assumptions. The idea is to take a weighted average...

Persistent link: https://www.econbiz.de/10014335942

The uncertainty estimation of feature-based forecast combinations

Wang, Xiaoqian; Kang, Yanfei; Petropoulos, Fotios; Li, Feng - In: Journal of the Operational Research Society 73 (2022) 5, pp. 979-993

Persistent link: https://www.econbiz.de/10013372960

Forecasting tourism demand with a new time-varying forecast averaging approach

Sun, Yuying; Zhang, Jian; Li, Xin; Wang, Shouyang - In: Journal of travel research : a quarterly publication of … 62 (2023) 2, pp. 305-323

Persistent link: https://www.econbiz.de/10014245383