Optimal forecasting model selection and data characteristics
نویسندگان
چکیده
منابع مشابه
Forecasting, Model Averaging and Model Selection
Abstract This paper explores forecasting using model selection and model averaging and attempts to draw conclusion both in the context of stationarity and non-stationarity. Model averaging tends to be viewed as a polar opposite of model selection; often the motivation for averaging is to avoid the pitfalls of selecting models. However, selection cannot be avoided since every possible model cann...
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ژورنال
عنوان ژورنال: Applied Financial Economics
سال: 2007
ISSN: 0960-3107,1466-4305
DOI: 10.1080/09603100600905061