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Citations for "Least-squares forecast averaging"

by Hansen, Bruce E.

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  1. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  2. Xu Cheng & Zhipeng Liao & Ruoyao Shi, 2013. "Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version," PIER Working Paper Archive 15-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Mar 2015.
  3. Chanont Banternghansa & Michael W. McCracken, 2011. "Real-time forecast averaging with ALFRED," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 49-66.
  4. Gao, Yichen & Long, Wei & Wang, Zhengwei, 2015. "Estimating average treatment effect by model averaging," Economics Letters, Elsevier, vol. 135(C), pages 42-45.
  5. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers 2011-03, Centre de Recherche en Economie et Statistique.
  6. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
  7. Moral-Benito, Enrique, 2010. "Model averaging in economics," MPRA Paper 26047, University Library of Munich, Germany.
  8. Magnus, Jan R. & Wan, Alan T.K. & Zhang, Xinyu, 2011. "Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1331-1341, March.
  9. Schwarzmüller, Tim, 2015. "Model pooling and changes in the informational content of predictors: An empirical investigation for the euro area," Kiel Working Papers 1982, Kiel Institute for the World Economy (IfW).
  10. Claeskens, Gerda & Magnus, Jan R. & Vasnev, Andrey L. & Wang, Wendun, 2016. "The forecast combination puzzle: A simple theoretical explanation," International Journal of Forecasting, Elsevier, vol. 32(3), pages 754-762.
  11. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.
  12. Katja Drechsel & Rolf Scheufele, 2012. "The Financial Crisis from a Forecaster’s Perspective," Credit and Capital Markets, Credit and Capital Markets, vol. 45(1), pages 1–26-1–26.
  13. Gang Cheng & Sicong Wang & Yuhong Yang, 2015. "Forecast Combination under Heavy-Tailed Errors," Econometrics, MDPI, Open Access Journal, vol. 3(4), pages 797-797, November.
  14. Zhang, Xinyu & Lu, Zudi & Zou, Guohua, 2013. "Adaptively combined forecasting for discrete response time series," Journal of Econometrics, Elsevier, vol. 176(1), pages 80-91.
  15. Caggiano, Giovanni & Kapetanios, George & Labhard, Vincent, 2009. "Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK," Working Paper Series 1051, European Central Bank.
  16. Cornelius Köpp & Hans-Jörg Mettenheim & Michael Breitner, 2014. "Decision Analytics with Heatmap Visualization for Multi-step Ensemble Data," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 6(3), pages 131-140, June.
  17. Tim Schwarzmüller, 2015. "Model Pooling and Changes in the Informational Content of Predictors: an Empirical Investigation for the Euro Area," Kiel Working Papers 1982, Kiel Institute for the World Economy.
  18. Ando, Tomohiro & Tsay, Ruey, 2010. "Predictive likelihood for Bayesian model selection and averaging," International Journal of Forecasting, Elsevier, vol. 26(4), pages 744-763, October.
  19. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  20. Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012. "WALS Prediction," Discussion Paper 2012-043, Tilburg University, Center for Economic Research.
  21. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2011. "Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data," Tinbergen Institute Discussion Papers 11-172/4, Tinbergen Institute.
  22. Shangwei Zhao, 2014. "Model averaging based on James–Stein estimators," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(8), pages 1013-1022, November.
  23. Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012. "Optimal Combination of Survey Forecasts," Working Papers ECARES ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
  24. Pablo Pincheira, 2012. "Are Forecast Combinations Efficient?," Working Papers Central Bank of Chile 661, Central Bank of Chile.
  25. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
  26. Cheng, Gang & Yang, Yuhong, 2015. "Forecast combination with outlier protection," International Journal of Forecasting, Elsevier, vol. 31(2), pages 223-237.
  27. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
  28. Aman Ullah & Alan T.K. Wan & Huansha Wang & Xinyu Zhang & Guohua Zou, 2014. "A Semiparametric Generalized Ridge Estimator and Link with Model Averaging," Working Papers 201412, University of California at Riverside, Department of Economics.
  29. Charemza, Wojciech W. & Strachan, Rodney & Zurawski, Piotr, 2010. "False posteriors for the long-term growth determinants," Economics Letters, Elsevier, vol. 109(3), pages 144-146, December.
  30. Wan, Alan T.K. & Zhang, Xinyu & Wang, Shouyang, 2014. "Frequentist model averaging for multinomial and ordered logit models," International Journal of Forecasting, Elsevier, vol. 30(1), pages 118-128.
  31. Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, Open Access Journal, vol. 1(2), pages 157-157, September.
  32. Magnus, Jan R. & Vasnev, Andrey L., 2015. "Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations," International Journal of Forecasting, Elsevier, vol. 31(3), pages 769-781.
  33. Wan, Alan T.K. & Zhang, Xinyu & Zou, Guohua, 2010. "Least squares model averaging by Mallows criterion," Journal of Econometrics, Elsevier, vol. 156(2), pages 277-283, June.
  34. Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach, Second Version," PIER Working Paper Archive 13-061, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 03 Sep 2013.
  35. Ng, Serena, 2013. "Variable Selection in Predictive Regressions," Handbook of Economic Forecasting, Elsevier.
  36. Samuels, Jon D. & Sekkel, Rodrigo M., 2017. "Model Confidence Sets and forecast combination," International Journal of Forecasting, Elsevier, vol. 33(1), pages 48-60.
  37. Xinyu Zhang & Alan T. K. Wan & Sherry Z. Zhou, 2011. "Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 132-142, June.
  38. Hsiao, Cheng & Wan, Shui Ki, 2014. "Is there an optimal forecast combination?," Journal of Econometrics, Elsevier, vol. 178(P2), pages 294-309.
  39. Schomaker, Michael & Wan, Alan T.K. & Heumann, Christian, 2010. "Frequentist Model Averaging with missing observations," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3336-3347, December.
  40. George Papadopoulos & Savas Papadopoulos & Thomas Sager, 2016. "Credit risk stress testing for EU15 banks: a model combination approach," Working Papers 203, Bank of Greece.
  41. Vanina Forget, 2012. "Doing well and doing good: a multi-dimensional puzzle," Working Papers hal-00672037, HAL.
  42. Zhang, Xinyu & Wan, Alan T.K. & Zou, Guohua, 2013. "Model averaging by jackknife criterion in models with dependent data," Journal of Econometrics, Elsevier, vol. 174(2), pages 82-94.
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