This paper proposes a multivariate least squares Mallows averaging approach to the issue of forecast combination by vector autoregressive (VAR) model fitting. Our approach extends the current literature on frequentist least squares model/forecast averaging methods, in particular Hansen (2008),...

This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...