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The influence of the variance-covariance structure on the performance of forecast combining techniques

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  • Klapper, Matthias

Abstract

We simulate forecast errors with different variance-covariance structures based on macroeconomic data. The simulations are used to compare the performance of different forecast combining techniques.

Suggested Citation

  • Klapper, Matthias, 1998. "The influence of the variance-covariance structure on the performance of forecast combining techniques," Technical Reports 1998,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:199839
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