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Robust Constrained Combinations Of Forecasts

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  • Jan Víšek
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    Abstract

    Paper shows that, under assumption that the single forecasts which enter the combination are unbiased, imposing some constraints on coordinates of M -estimator (of corresponding regression coefficients) leads to a gain in the asymptotic variance of one-step forward prediction evaluated by means of combined forecast. Numerical illustration offers a possibility to create an idea about the magnitude of the gain, and it also hints which type of M -estimator is to be used.

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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/61
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    Bibliographic Info

    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 5 (1998)
    Issue (Month): 8 ()
    Pages:

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    Handle: RePEc:czx:journl:v:5:y:1998:i:8:id:61

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    Related research

    Keywords: Robust methods; M-estimation; combining forecasts; redescending influence functions; magnitude of gain;

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