Forecasting With Model Uncertainty: Representations and Risk Reduction
نویسندگان
چکیده
منابع مشابه
Forecasting with Model Uncertainty: Representations and Risk Reduction∗
We consider forecasting with uncertainty about the choice of predictor variables. The researcher wants to select a model, estimate the parameters, and use this for forecasting. We investigate the distributional properties of a number of different schemes for model choice and parameter estimation: in-sample model selection using the Akaike information criterion, out-of-sample model selection, an...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2017
ISSN: 0012-9682
DOI: 10.3982/ecta13372