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Linear constraints and the efficiency of combined forecasts

✍ Scribed by G. Trenkler; E. P. Liski

Publisher: John Wiley and Sons
Year: 1986
Tongue: English
Weight: 257 KB
Volume: 5
Category: Article
ISSN: 0277-6693
DOI: 10.1002/for.3980050306

No coin nor oath required. For personal study only.

✦ Synopsis

This note extends some recent results, achieved by Clemen, on constraining the weights of a combined forecast. There is a great potential for improving the ordinary least squares forecast by imposing linear restrictions, and it will be shown how this potential can be exhausted by using an F-test. The corresponding decision procedure leads to a pre-test forecast with good statistical properties.

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