Forecasting cointegrated nonstationary time series with time-varying variance

doi:10.1016/j.jeconom.2016.09.012

CORC > 上海财经大学 > 上海财经大学

	Forecasting cointegrated nonstationary time series with time-varying variance
	Tu, Yundong 1,2; Yi, Yanping 3
刊名	JOURNAL OF ECONOMETRICS
	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.