Forecast Combination Across Estimation Windows

DOI10.1198/JBES.2010.09018zbMath1214.62095OpenAlexW2136026143MaRDI QIDQ5392709

Andreas Pick, M. Hashem Pesaran

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/26871

zbMATH Keywords

structural breaksforecast averagingexponential down-weighting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Sums of independent random variables; random walks (60G50)

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