Time-varying model averaging

Published 2020 View Full Article

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Title
Time-varying model averaging
Authors
Keywords
Asymptotic optimality, Forecast combination, Local stationarity, Model averaging, Structural change, Time-varying model averaging
Journal
JOURNAL OF ECONOMETRICS
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2020-09-18
DOI
10.1016/j.jeconom.2020.02.006

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