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Averaging estimators for autoregressions with a near unit root
16 references·2 citing·22 second hop
Averaging estimators for autoregressions with a near unit root (2010)Averaging estimators for autoregressions …Handbook of Economic Forecasting (2013)Handbook of Economic Forecast…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…Pooling of forecasts (2004)Pooling of forecastsCombination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…8 Forecast evaluation and combination (1996)8 Forecast evaluation and com…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Combining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Improved methods of combining forecasts (1984)Improved methods of combining…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The Combination of Forecasts (1969)The Combination of ForecastsModel averaging estimation for conditional volatility models with an application to stock market volatility forecast (2020)Model averaging estimation fo…Combining Forecasts from Nested Models* (2009)Combining Forecasts from Nest…The M3-Competition: results, conclusions and implications (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Forecasting: theory and practice (2022)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Expert judgment: Some necessary conditions and an example. (1974)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Unit root tests in panel data: asymptotic and finite-sample properties (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
  • 1969The Combination of Forecasts3,194 cited
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  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 2013Handbook of Economic Forecasting1,216 cited
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  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 19968 Forecast evaluation and combination536 cited
  • 2004

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Pooling of forecasts
484 cited

Cited by

  • 2009Combining Forecasts from Nested Models*39 cited
  • 2020Model averaging estimation for conditional volatility models with an application to stock market volatility forecast28 cited