We examine the implications of allowing lags into forecast combination regressions, thereby extending previous models. The practical conclusion is that lagged dependent variables, but not lagged forecasts, improve forecast combination procedures. Also, improvements are obtained when nonstationarity
A dynamic factor model framework for forecast combination
β Scribed by Yeung Lewis Chan; James H. Stock; Mark W. Watson
- Publisher
- Springer
- Year
- 1999
- Tongue
- English
- Weight
- 137 KB
- Volume
- 1
- Category
- Article
- ISSN
- 1435-5469
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