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增广动态面板模型的迭代可行广义最小二乘估计AI 解读

This article provides the large sample distribution of the iterated feasible generalized least-squares (IFGLS) estimator of an augmented dynamic panel data model. The regressors in the model include lagged values of the dependent variable and may include other explanatory variables that, while exogenous with respect to the time-varying error component, may be correlated with an unobserved time-invariant component. The article compares the finite sample properties of the…

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组合预测：统一方法与最优性的再考察AI 解读

This article shows when the theoretical Lagrange multiplier solution for combining forecasts has a regression representation. This solution is not optimal in general because it imposes a restriction on an otherwise more general linear form. The optimal linear predictor based on N forecasts is presented. This predictor is or is not a regression function depending on whether the latter function is linear. I also show that the Lagrange multiplier solution may often be nearly…