To Combine Forecasts or to Combine Information?
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Publication:3063857
DOI10.1080/07474938.2010.481553zbMath1201.91154OpenAlexW2019793274MaRDI QIDQ3063857
Publication date: 15 December 2010
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2010.481553
equity premiumprincipal componentsshrinkagefactor modelsforecast combinationmany predictorsinformation setsequally weighted combination of forecastsforecast combination puzzle
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Related Items (7)
Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks ⋮ Augmented factor models with applications to validating market risk factors and forecasting bond risk premia ⋮ Penalized time-varying model averaging ⋮ Comparison of forecasting methods with an application to predicting excess equity premium ⋮ Does a lot help a lot? Forecasting stock returns with pooling strategies in a data‐rich environment ⋮ The Benefits of Bagging for Forecast Models of Realized Volatility ⋮ Is there an optimal forecast combination?
Cites Work
- Forecasting economic time series using targeted predictors
- Least-squares forecast averaging
- Handbook of economic forecasting. Volume 1
- Pooling of forecasts
- Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation
- Econometric Evaluation of Linear Macro-Economic Models
- Forecasting Using Principal Components From a Large Number of Predictors
- Asymptotic Inference about Predictive Ability
- Chapter 2 Combining Predictors & Combining Information in Modelling: Forecasting US Recession Probabilities and Output Growth
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Optimal Model Assessment, Selection, and Combination
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