2 papers
econ.EM2023
Generalized Autoregressive Score Trees and Forests
Andrew J. Patton, Yasin Simsek
We propose methods to improve the forecasts from generalized autoregressive score (GAS) models (Creal et. al, 2013; Harvey, 2013) by localizing their parameters using decision tree…
econ.EM2019
Testing for Unobserved Heterogeneity via k-means Clustering
Andrew J. Patton, Brian M. Weller
Clustering methods such as k-means have found widespread use in a variety of applications. This paper proposes a formal testing procedure to determine whether a null hypothesis of…