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Generalized forecast averaging in autoregressions with a near unit root

Kejriwal, Mohitosh; Yu, Xuewen - 2019

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

Model averaging prediction for time series models with a diverging number of parameters

Liao, Jun; Zou, Guohua; Gao, Yan; Zhang, Xinyu - In: Journal of econometrics 223 (2021) 1, pp. 190-221

Persistent link: https://www.econbiz.de/10012619966

Model averaging prediction for possibly nonstationary autoregressions

Lin, Tzu-Chi - 2023

Persistent link: https://www.econbiz.de/10014282293

Unit root vector autoregression with volatility induced stationarity

Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of empirical finance 29 (2014), pp. 144-167

Persistent link: https://www.econbiz.de/10011300499

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

Distribution of the Least Squares Estimator in a First-Order Autoregressive Model

Ali, Mukhtar M. - 1998

This paper investigates the finite sample distribution of the least squares estimator of the autoregressive parameter in a first-order autoregressive model. Uniform asymptotic expansion for the distribution applicable to both stationary and nonstationary cases is obtained. Accuracy of the...

Persistent link: https://www.econbiz.de/10014075760