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A similarity-based approach to time-varying coefficient non-stationary autoregression

✍ Scribed by Offer Lieberman

Book ID
115225864
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
845 KB
Volume
33
Category
Article
ISSN
0143-9782

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On the Predictive Content of Autoregress
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✍ Helmut Herwartz πŸ“‚ Article πŸ“… 2012 πŸ› John Wiley and Sons 🌐 English βš– 178 KB

## ABSTRACT This paper proposes an adjustment of linear autoregressive conditional mean forecasts that exploits the predictive content of uncorrelated model residuals. The adjustment is motivated by non‐Gaussian characteristics of model residuals, and implemented in a semiparametric fashion by mean