Combining Forecasts Using Constrained M-Estimators
AbstractThe result of Clemen (1986) shows that the combination of unbiased forecasts by means of a LS-regression model without an intercept and with the constraint that coefficients sum to one gives less spread prediction than the general regression model. Here the result is generalized for the M -estimators of the regression model. In order to achieve this an asymptotic representation of the M -estimators is used.
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Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 3 (1996)
Issue (Month): 4 ()
Combination of forecasts; accuracy of prediction; constrained M-estimators;
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