Robust Constrained Combinations Of Forecasts
AbstractPaper 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.
Volume (Year): 5 (1998)
Issue (Month): 8 ()
Robust methods; M-estimation; combining forecasts; redescending influence functions; magnitude of gain;
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik).
If references are entirely missing, you can add them using this form.