Combining multiple time series predictors: A useful inferential procedure

DOI10.1016/S0378-3758(02)00186-6zbMath1020.62090OpenAlexW1970256805MaRDI QIDQ1400134

Daniel Peña, Victor M. Guerrero

Publication date: 13 August 2003

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(02)00186-6

zbMATH Keywords

benchmarkinggeneralized least squaresforecast combinationcompatibility testingrestricted prediction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference under constraints (62F30)

Related Items (2)

Retropolating some relevant series of Mexico's System of National Accounts at constant prices: The case of Mexico City's GDP ⋮ Temporal disaggregation and restricted forecasting of multiple population time series

Uses Software

• astsa

Cites Work

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• On the Use of Incomplete Prior Information in Regression Analysis
• Adjustment of Monthly or Quarterly Series to Annual Totals: An Approach Based on Quadratic Minimization

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