Generalized Forecast Averaging in Autoregressions with a Near Unit Root

IF 2.9 4区经济学 Q1 ECONOMICS

Econometrics Journal Pub Date : 2020-04-01 DOI:10.1093/ECTJ/UTAA006

Mohitosh Kejriwal, Xuewen Yu

引用次数: 1

Abstract

This paper develops a new approach to forecasting a highly persistent time series that employs feasible generalized least squares (FGLS) estimation of the deterministic components in conjunction with Mallows model averaging.

查看原文本刊更多论文

近单位根自回归的广义预测平均

本文提出了一种预测高度持续时间序列的新方法，该方法采用确定性分量的可行广义最小二乘(FGLS)估计与Mallows模型平均相结合。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Econometrics Journal 管理科学-数学跨学科应用

CiteScore

4.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.