Choosing among competing econometric forecasts: Regression-based forecast combination using model selection
نویسندگان
چکیده
منابع مشابه
Choosing Among Competing Econometric Forecasts: Regression Based Forecast Combination Using Model Selection
Based on Monte Carlo simulations using both stationary and nonstationary data, a model selection approach which uses the SIC to select a "best" group of forecasts in the context of forecast combination regressions dominates a number of other techniques, including the standard t-statistic approach and the simple averaging rule. Our results are robust across various restricted and unrestricted ve...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2001
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.784