Generalized Forecasr Averaging in Autoregressions with a Near Unit Root

Mohitosh Kejriwal and Xuewen Yu

Purdue University Economics Working Papers from Purdue University, Department of Economics

Abstract: This paper develops a new approach to forecasting a highly persistent time series that employs feasible generalized least squares (FGLS) estimation of the deterministic components in conjunction with Mallows model averaging.

JEL-codes: C22 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2019-12
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pur:prukra:1318

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