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econ.EM2021
Estimating high-dimensional Markov-switching VARs
Kenwin Maung
Maximum likelihood estimation of large Markov-switching vector autoregressions (MS-VARs) can be challenging or infeasible due to parameter proliferation. To accommodate situations…
econ.EM2020
Time-varying Forecast Combination for High-Dimensional Data
Bin Chen, Kenwin Maung
In this paper, we propose a new nonparametric estimator of time-varying forecast combination weights. When the number of individual forecasts is small, we study the asymptotic prop…