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Persistence in forecasting performance and conditional combination strategies

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  • Aiolfi, Marco
  • Timmermann, Allan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 135 (2006)
Issue (Month): 1-2 ()
Pages: 31-53

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Handle: RePEc:eee:econom:v:135:y:2006:i:1-2:p:31-53

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, Elsevier, vol. 5(4), pages 559-583.
  2. Ghysels, Eric & Granger, Clive W J & Siklos, Pierre L, 1996. "Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(3), pages 374-86, July.
  3. Swanson, Norman R & White, Halbert, 1995. "A Model-Selection Approach to Assessing the Information in the Term Structure Using Linear Models and Artificial Neural Networks," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(3), pages 265-75, July.
  4. Elliott, Graham & Timmermann, Allan, 2002. "Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions," University of California at San Diego, Economics Working Paper Series qt15r9t2q2, Department of Economics, UC San Diego.
  5. Francis X. Diebold & Peter Pauly, 1987. "The use of prior information in forecast combination," Special Studies Papers 218, Board of Governors of the Federal Reserve System (U.S.).
  6. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
  7. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.
  8. James H. Stock & Mark W. Watson, 1994. "Evidence on Structural Instability in Macroeconomic Time Series Relations," NBER Technical Working Papers 0164, National Bureau of Economic Research, Inc.
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