Forecasting cointegrated nonstationary time series with time-varying variance | |
Tu, Yundong1,2; Yi, Yanping3 | |
刊名 | JOURNAL OF ECONOMETRICS
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2017-01 | |
卷号 | 196期号:1页码:83-98 |
关键词 | Cointegration Error correction model Model averaging Pre-testing Time-varying variance |
ISSN号 | 0304-4076 |
DOI | 10.1016/j.jeconom.2016.09.012 |
英文摘要 | In cointegrated vector autoregressive (VAR) models, error correction terms often have indeterminate effects on forecasting, thus we are concerned with inclusion or exclusion of the cointegration relation in forecast. This paper considers the model averaging strategies for cointegrated VAR models with heterogeneous variance or variance breaks. The estimated cointegration rank along with other data information are used to formulate the model averaging weights. This specific but unknown pattern of time-varying variances has nontrivial effects on the choices of model weights. Our numerical results strongly advocate the Mallows averaging estimator, but caution against the commonly used pre-testing approach. (C) 2016 Elsevier B.V. All rights reserved. |
WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
语种 | 英语 |
出版者 | ELSEVIER SCIENCE SA |
WOS记录号 | WOS:000389388500006 |
内容类型 | 期刊论文 |
源URL | [http://10.2.47.112/handle/2XS4QKH4/1131] ![]() |
专题 | 上海财经大学 |
通讯作者 | Yi, Yanping |
作者单位 | 1.Peking Univ, Guanghua Sch Management, Beijing, Peoples R China; 2.Peking Univ, Ctr Stat Sci, Beijing, Peoples R China; 3.Shanghai Univ Finance & Econ, Sch Econ, 777 Guoding Rd, Shanghai 200433, Peoples R China |
推荐引用方式 GB/T 7714 | Tu, Yundong,Yi, Yanping. Forecasting cointegrated nonstationary time series with time-varying variance[J]. JOURNAL OF ECONOMETRICS,2017,196(1):83-98. |
APA | Tu, Yundong,&Yi, Yanping.(2017).Forecasting cointegrated nonstationary time series with time-varying variance.JOURNAL OF ECONOMETRICS,196(1),83-98. |
MLA | Tu, Yundong,et al."Forecasting cointegrated nonstationary time series with time-varying variance".JOURNAL OF ECONOMETRICS 196.1(2017):83-98. |
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