OPTIMAL MULTISTEP VAR FORECAST AVERAGING

Liao, JC; Tsay, WJ

Liao, JC (corresponding author), Fu Jen Catholic Univ, Dept Econ, 510 Zhongzheng Rd, New Taipei 24205, Taiwan.

ECONOMETRIC THEORY, 2020; 36 (6): 1099

Abstract

This article proposes frequentist multiple-equation least-squares averaging approaches for multistep forecasting with vector autoregressive (VAR) mode......

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