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Optimal aggregation of linear time series models

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  • Chipman, J.
  • Winker, P.

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  • Chipman, J. & Winker, P., 2005. "Optimal aggregation of linear time series models," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 311-331, April.
    • Handle: RePEc:eee:csdana:v:49:y:2005:i:2:p:311-331
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    References listed on IDEAS

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    1. Winker, Peter & Fang, Kai-Tai, 1995. "Application of threshold accepting to the evaluation of the discrepancy of a set of points," Discussion Papers, Series II 248, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    2. Paul A. Samuelson, 1953. "Prices of Factors and Goods in General Equilibrium," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 21(1), pages 1-20.
    3. Gunter Dueck & Peter Winker, 1992. "New concepts and algorithms for portfolio choice," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 8(3), pages 159-178, September.
    4. Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 299-312, March.
    5. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    6. Geweke, John, 1985. "Macroeconometric Modeling and the Theory of the Representative Agent," American Economic Review, American Economic Association, vol. 75(2), pages 206-210, May.
    7. Peter Winker, 2000. "Optimized Multivariate Lag Structure Selection," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 87-103, October.
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    Cited by:

    1. Storfinger, Nina & Winker, Peter, 2011. "Robustness of clustering methods for identification of potential falsifications in survey data," Discussion Papers 57, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
    2. Manfred GILLI & Peter WINKER, 2008. "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.

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