Serial Correlation and the Combination of Forecasts
نویسندگان
چکیده
منابع مشابه
Serial Correlation and the Combination of Forecasts
It is shown that regression-based methods of forecast combination lead to serially correlated combined prediction errors. The form of the serial correlation is characterized, and specification, estimation, and prediction are treated. A fully optimal combined predictor, which exploits the serial correlation, is developed and compared with existing regression-based methods in a numerical example,...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 1988
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.1988.10509642