Comparison of forecasting methods with an application to predicting excess equity premium

DOI10.1016/J.MATCOM.2010.03.010zbMath1215.62097OpenAlexW2028921499MaRDI QIDQ543435

Shui Ki Wan, Cheng Hsiao

Publication date: 17 June 2011

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2010.03.010

zbMATH Keywords

forecast combination

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical decision theory (62C99)

Cites Work

• Unnamed Item
• Handbook of economic forecasting. Volume 1
• Estimating the dimension of a model
• Comments on testing economic theories and the use of model selection criteria
• To Combine Forecasts or to Combine Information?
• Econometric Evaluation of Linear Macro-Economic Models
• Regression and time series model selection in small samples
• Model Selection: An Integral Part of Inference

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