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Optimal Multi-Step VAR Forecasting Averaging

https://doi.org/10.2139/ssrn.3003454
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VAR forecasting under misspecification
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Least-squares forecast averaging
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Least squares model averaging by Mallows criterion
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Variable selection, estimation and inference for multi-period forecasting problems
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Jackknife model averaging
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Model averaging by jackknife criterion in models with dependent data
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Model averaging based on leave-subject-out cross-validation
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MULTISTEP PREDICTION IN AUTOREGRESSIVE PROCESSES
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An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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Properties of Predictors for Autoregressive Time Series
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Properties of Predictors in Misspecified Autoregressive Time Series Models
inferredcites →https://doi.org/10.1080/07474938.2015.1092817openalex-extracted
Generalized Least Squares Model Averaging
inferredcites →https://doi.org/10.1093/acprof:oso/9780199237197.003.0007openalex-extracted
Forecasting in Dynamic Factor Models Subject to Structural Instability*
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Modified AIC and Cp in multivariate linear regression
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DIRECT MULTI‐STEP ESTIMATION AND FORECASTING
inferredcites →https://doi.org/10.1111/j.1467-9868.2004.04664.xopenalex-extracted
Nonparametric Multistep-Ahead Prediction in Time Series Analysis
inferredcites →https://doi.org/10.1111/j.1468-0262.2007.00785.xopenalex-extracted
Least Squares Model Averaging
inferredcites →https://doi.org/10.1142/9789812385451openalex-extracted
Regression and Time Series Model Selection
inferredcites →https://doi.org/10.1162/rest_a_00483openalex-extracted
Prior Selection for Vector Autoregressions
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Consistent Autoregressive Spectral Estimates
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Asymptotic Optimality for $C_p, C_L$, Cross-Validation and Generalized Cross-Validation: Discrete Index Set
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A Small-Sample Study of the New-Keynesian Macro Model
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Bayesian Forecast Combination for VAR Models
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Macroeconomics and Reality
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A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
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Forecasting with factor-augmented regression: A frequentist model averaging approach
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