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Forecast combination in a dynamic setting

✍ Scribed by N. Edward Coulson; Russell P. Robins

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
323 KB
Volume
12
Category
Article
ISSN
0277-6693

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✦ Synopsis

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 of the data is recognized.

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