Forecast combination in a dynamic settin
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N. Edward Coulson; Russell P. Robins
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Article
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1993
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John Wiley and Sons
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English
β 323 KB
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