Is there an optimal forecast combination?

DOI10.1016/J.JECONOM.2013.11.003zbMATH Open1293.62214OpenAlexW2068424727MaRDI QIDQ134084FDOQ134084

Authors: Cheng Hsiao, Shui Ki Wan, Cheng Hsiao, Shui Ki Wan 

Publication date: January 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.11.003

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Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

Cites Work

• Estimating the dimension of a model
• Regression and time series model selection in small samples
• A new look at the statistical model identification
• Least-squares forecast averaging
• Eigenvalues of large sample covariance matrices of spiked population models
• Finite sample approximation results for principal component analysis: A matrix perturbation approach
• Model Selection: An Integral Part of Inference
• An Analysis of the Total Least Squares Problem
• Persistence in forecasting performance and conditional combination strategies
• To combine forecasts or to combine information?
• Handbook of economic forecasting. Volume 1
• Forecast combination across estimation windows

Cited In (25)

• Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
• Model averaging for asymptotically optimal combined forecasts
• Combining forecasts using the least trimmed squares.
• USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS
• Directed graphs, information structure and forecast combinations: an empirical examination of US unemployment rates
• Are forecast updates progressive?
• Addressing the life expectancy gap in pension policy
• To combine forecasts or to combine information?
• Challenges for panel financial analysis
• Multimodel inference based on smoothed information criteria
• Optimal forecast combinations under general loss functions and forecast error distributions
• Generative adversarial networks for financial trading strategies fine-tuning and combination
• Forecasting combination of hierarchical time series: a novel method with an application to CoVid-19
• On the market price of risk
• Penalized time-varying model averaging
• Optimal forecasting accuracy using Lp-norm combination
• ForecastComb
• Recursive forecast combination for dependent heterogeneous data
• Combination forecasting for directional accuracy: An application to survey interest rate forecasts
• CRPS Learning
• Inflation Rate Forecasting: Extreme Learning Machine as a Model Combination Method
• A maximum likelihood approach to combining forecasts
• MSGARCHelm
• Chapter 2 Combining Predictors & Combining Information in Modelling: Forecasting US Recession Probabilities and Output Growth
• Optimal prediction pools

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