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Combining forecasts using optimal combination weight and generalized autoregression

✍ Scribed by Jeong-Ryeol Kurz-Kim

Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
194 KB
Volume
27
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

In this paper, we consider a combined forecast using an optimal combination weight in a generalized autoregression framework. The generalized autoregression provides not only a combined forecast but also an optimal combination weight for combining forecasts. By simulation, we find that short‐ and medium‐horizon (as well as partly long‐horizon) forecasts from the generalized autoregression using the optimal combination weight are more efficient than those from the usual autoregression in terms of the mean‐squared forecast error. An empirical application with US gross domestic product confirms the simulation result. Copyright Β© 2008 John Wiley & Sons, Ltd.

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