Adaptively combined forecasting for discrete response time series
AbstractAdaptive combining is generally a desirable approach for forecasting, which, however, has rarely been explored for discrete response time series. In this paper, we propose an adaptively combined forecasting method for such discrete response data. We demonstrate in theory that the proposed forecast is of the desired adaptation with respect to the widely used squared risk and other significant risk functions under mild conditions. Furthermore, we study the issue of adaptation for the proposed forecasting method in the presence of model screening that is often useful in applications. Our simulation study and two real-world data examples show promise for the proposed approach.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 176 (2013)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/jeconom
Adaptation; Discrete response; Forecast combination; Model screening; Time series;
Find related papers by JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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