Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts
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- Gibbs, Christopher G. & Vasnev, Andrey L., 2024. "Conditionally optimal weights and forward-looking approaches to combining forecasts," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1734-1751.
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- repec:zbw:bofrdp:2018_023 is not listed on IDEAS
- Granziera, Eleonora & Sekhposyan, Tatevik, 2019.
"Predicting relative forecasting performance: An empirical investigation,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
- Granziera, Eleonora & Sekhposyan, Tatevik, 2018. "Predicting relative forecasting performance: An empirical investigation," Bank of Finland Research Discussion Papers 23/2018, Bank of Finland.
- Granziera, Eleonora & Sekhposyan, Tatevik, 2019.
"Predicting relative forecasting performance: An empirical investigation,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1636-1657.
- Granziera, Eleonora & Sekhposyan, Tatevik, 2018. "Predicting relative forecasting performance : An empirical investigation," Research Discussion Papers 23/2018, Bank of Finland.
- Fossati, Sebastian, 2017. "Testing for State-Dependent Predictive Ability," Working Papers 2017-9, University of Alberta, Department of Economics.
- Radchenko, Peter & Vasnev, Andrey L. & Wang, Wendun, 2023.
"Too similar to combine? On negative weights in forecast combination,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 18-38.
- Radchenko, Peter & Vasnev, Andrey & Wang, Wendun, 2020. "Too similar to combine? On negative weights in forecast combination," Working Papers BAWP-2020-02, University of Sydney Business School, Discipline of Business Analytics.
- Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2019. "On the Forecast Combination Puzzle," Econometrics, MDPI, vol. 7(3), pages 1-26, September.
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More about this item
Keywords
Forecast combination; conditionally optimal weights; forecast combination puzzle; inflation; Phillips curve;All these keywords.
JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-04-16 (Econometrics)
- NEP-ETS-2017-04-16 (Econometric Time Series)
- NEP-FOR-2017-04-16 (Forecasting)
Statistics
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