Is there an optimal forecast combination?

DOI10.1016/j.jeconom.2013.11.003zbMath1293.62214OpenAlexW2068424727MaRDI QIDQ134084

Shui Ki Wan, Cheng Hsiao, Cheng Hsiao, Shui Ki Wan

Publication date: January 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.11.003

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factor analysis and principal components; correspondence analysis (62H25) Economic time series analysis (91B84)

Related Items

Inflation Rate Forecasting: Extreme Learning Machine as a Model Combination Method, Challenges for Panel Financial Analysis, Optimal forecasting accuracy using Lp-norm combination, Model averaging for asymptotically optimal combined forecasts, Penalized time-varying model averaging, On the market price of risk, Multimodel inference based on smoothed information criteria, CRPS Learning, MSGARCHelm, Addressing the life expectancy gap in pension policy, ForecastComb, Generative adversarial networks for financial trading strategies fine-tuning and combination, Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination

Cites Work

• An Analysis of the Total Least Squares Problem
• Persistence in forecasting performance and conditional combination strategies
• Least-squares forecast averaging
• Handbook of economic forecasting. Volume 1
• Finite sample approximation results for principal component analysis: A matrix perturbation approach
• Estimating the dimension of a model
• Eigenvalues of large sample covariance matrices of spiked population models
• To Combine Forecasts or to Combine Information?
• Regression and time series model selection in small samples
• Model Selection: An Integral Part of Inference
• Forecast Combination Across Estimation Windows
• A new look at the statistical model identification