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Combining time series models for forecasting

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  • Zou, Hui
  • Yang, Yuhong

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  • Zou, Hui & Yang, Yuhong, 2004. "Combining time series models for forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 69-84.
    • Handle: RePEc:eee:intfor:v:20:y:2004:i:1:p:69-84
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    References listed on IDEAS

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    1. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    2. Yang, Yuhong, 2004. "Combining Forecasting Procedures: Some Theoretical Results," Econometric Theory, Cambridge University Press, vol. 20(1), pages 176-222, February.
    3. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    4. Yang Y., 2001. "Adaptive Regression by Mixing," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 574-588, June.
    5. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
    6. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    7. Swanson, Norman R & White, Halbert, 1995. "A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 265-275, July.
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