- Anderson TW. 2003. An Introduction to Multivariate Statistical Analysis Hoboken, NJ: John Wiley & Sons.
Paper not yet in RePEc: Add citation now
- Andrews D. 1991. Asymptotic optimality of GCL, CV, and GCV. Journal of Econometrics 47:359–377.
Paper not yet in RePEc: Add citation now
- Bates J, Granger C. 1969. The combination of forecasts. Journal of the Operational Research Society 20(4):451–468.
Paper not yet in RePEc: Add citation now
Benkwitz A, Lütkepohl H, Neumann M. 2000. Problems related to confidence intervals for impulse responses of autoregressive processes. Econometric Reviews 19(1):69–103.
- Berk K. 1974. Consistent autoregressive spectral estimates. The Annals of Statistics 2(3):489–502.
Paper not yet in RePEc: Add citation now
- Bose A. 1988. Edgeworth correction by bootstrap in autoregressions. The Annals of Statistics 16(4):1709–1722.
Paper not yet in RePEc: Add citation now
- Buckland S, Burnham K, Augustin N. 1997. Model selection: an integral part of inference. Biometrics 53(2):603–618.
Paper not yet in RePEc: Add citation now
- Burnham KP, Anderson DR. 2002. Model Selection and Multimodel Inference: A Practical Information‐Theoretic Approach New York:Springer.
Paper not yet in RePEc: Add citation now
- Christiano LJ, Eichenbaum M, Evans CL. 1999. Monetary policy shocks: What have we learned and to what end?. In Handbook of Macroeconomics, Vol. 1, North Holland: Elsevier; 65–148.
Paper not yet in RePEc: Add citation now
Claeskens G, Hjort NL. 2008. Model Selection and Model Averaging Cambridge: Cambridge University Press.
- Davidson R, MacKinnon JG. 1999. Econometric Theory and Methods Oxford: Oxford University Press.
Paper not yet in RePEc: Add citation now
- Hall P. 1992. The Bootstrap and Edgeworth Expansion New York: Springer.
Paper not yet in RePEc: Add citation now
Hansen BE, Racine JS. 2012. Jackknife model averaging. Journal of Econometrics 167(1):38–46.
Hansen BE. 2005. Challenges for econometric model selection. Econometric Theory 21(1):60–68.
Hansen BE. 2007. Least squares model averaging. Econometrica 75(4):1175–1189.
- Hansen BE. 2016. Stein combination shrinkage for vector autoregressions. Working Paper. https://users.ssc.wisc.edu/∼bhansen/papers/var.html.
Paper not yet in RePEc: Add citation now
- Hjort NL, Claeskens G. 2003. Frequentist model average estimators. Journal of the American Statistical Association 98(464):879–899.
Paper not yet in RePEc: Add citation now
- Ing CK, Wei CZ. 2005. Order selection for same‐realization predictions in autoregressive processes. The Annals of Statistics 33(5):2423–2474.
Paper not yet in RePEc: Add citation now
- Jirak M. 2012. Simultaneous confidence bands for Yule‐Walker estimators and order selection. The Annals of Statistics 40(1):494–528.
Paper not yet in RePEc: Add citation now
- Juselius K. 2006. The Cointegrated VAR Model Oxford: Oxford University Press.
Paper not yet in RePEc: Add citation now
Kilian L. 1998a. Accounting for lag order uncertainty in autoregressions: the endogenous lag order bootstrap algorithm. Journal of Time Series Analysis 19(5):531–548.
- Kilian L. 1998b. Small‐sample confidence intervals for impulse response functions. The Review of Economics and Statistics 80(2):218–230.
Paper not yet in RePEc: Add citation now
Kilian L. 2001. Impulse response analysis in vector autoregressions with unknown lag order. Journal of Forecasting 20(3):161–179.
Kuersteiner GM. 2005. Automatic inference for infinite order vector autoregressions. Econometric Theory 21(1):85–115.
Leeb H, Pötscher BM. 2008. Can one estimate the unconditional distribution of post‐model‐selection estimators? Econometric Theory 24: 338–376.
Li D, Plagborg‐Møller M, Wolf CK. 2021. Local projections vs. VARs: lessons from thousands of DGPs. Princeton University Working Paper 30207.
Liang H, Zou G, Wan A, Zhang X. 2011. Optimal weight choice for frequentist model average estimators. Journal of the American Statistical Association 106(495):1053–1066.
- Liao J, Zong X, Zhang X, Zou G. 2019. Model averaging based on leave‐subject‐out cross‐validation for vector autoregressions. Journal of Econometrics 209(1):35–60.
Paper not yet in RePEc: Add citation now
Liu CA. 2015. Distribution theory of the least squares averaging estimator. Journal of Econometrics 186(1):142–159.
- Lohmeyer JH. 2019. Time Series Analysis under Model Uncertainty Maastricht: ProefschriftMaken Maastricht. https://doi.org/10.26481/dis.20190524jl.
Paper not yet in RePEc: Add citation now
Lütkepohl H, Staszweska‐Bystrova A, Winker P. 2015. Comparison of methods for constructing joint confidence bands for impulse response functions. International Journal of Forecasting 31(3):782–798.
Lütkepohl H. 1990. Asymptotic distributions of impulse response functions and forecast error variance decompositions of vector autoregressive models. The Review of Economics and Statistics 72(1):116–125.
- Lütkepohl H. 2005. New Introduction to Multiple Time Series Analysis Berlin: Springer.
Paper not yet in RePEc: Add citation now
- Paulsen J, Tjøstheim D. 1985. On the estimation of residual variance and order in autoregressive time series. Journal of the Royal Statistical Society 47(2):216–228.
Paper not yet in RePEc: Add citation now
Paulsen J. 1984. Order determination of multivariate autoregressive time series with unit root. Journal of Time Series Analysis 5(2):115–127.
- Pope A. 1990. Biases of estimators in multivariate non‐Gaussian autoregressions. Journal of Time Series Analysis 11(3):249–258.
Paper not yet in RePEc: Add citation now
Pötscher B. 2006. The distribution of model averaging estimators and an impossibility result regarding its estimation. IMS Lecture Notes‐Monograph Series 52:113–129 http://mpra.ub.uni‐muenchen.de/1893/.
- Quinn BG. 1980. Order determination for a multivariate autoregression. Journal of the Royal Statistical Society. Series B (Methodological) 42(2):182–185.
Paper not yet in RePEc: Add citation now
- Rao CR. 1973. Linear Statistical Inference and its Applications New York: John Wiley & Sons.
Paper not yet in RePEc: Add citation now
- Schwarz G. 1978. Estimating the dimension of a model. The Annals of Statistics 6(2):461–464.
Paper not yet in RePEc: Add citation now
Stock JH, Watson MW. 2001. Vector autoregressions. The Journal of Economic Perspectives 15(4):101–115.
- Wang M, Zhang X, Wan AT, Zhou G. 2019. On the asymptotic distribution of model averaging based on information criterion. arXiv preprint 1910.12208.
Paper not yet in RePEc: Add citation now
Zhang X, Liu CA. 2019. Inference after model averaging in linear regression models. Econometric Theory 35:816–841.
Zhang X, Wan AT, Zou G. 2013. Model averaging by jackknife criterion in models with dependent data. Journal of Econometrics 174(2):82–94.
- Zhang X, Zou G, Liang H. 2012. Choice of weights in FMA estimators under general parametric models. Science China Mathematics 55(1):443–457.
Paper not yet in RePEc: Add citation now
Zhang X. 2015. Consistency of model averaging estimators. Economics Letters 130:120–123.
- Zhao S, Zhang X. 2021. Multimodel inference based on smoothed information criteria. Science China Mathematics. 64:2563–2578. https://doi.org/10.1007/s11425‐020‐1798‐y.
Paper not yet in RePEc: Add citation now