IDEAS home Printed from https://ideas.repec.org/p/tiu/tiucen/7715e942-b446-4985-8216-f1a9fb2a9039.html
   My bibliography  Save this paper

WALS Prediction

Author

Listed:
  • Magnus, J.R.

    (Tilburg University, Center For Economic Research)

  • Wang, W.

    (Tilburg University, Center For Economic Research)

  • Zhang, Xinyu

Abstract

No abstract is available for this item.

Suggested Citation

  • Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012. "WALS Prediction," Discussion Paper 2012-043, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:7715e942-b446-4985-8216-f1a9fb2a9039
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/1431063/2012-043.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Ohtani, Kazuhiro & Toyoda, Toshihisa, 1980. "Estimation of regression coefficients after a preliminary test for homoscedasticity," Journal of Econometrics, Elsevier, vol. 12(2), pages 151-159, February.
    2. Toyoda, Toshihsa & Wallace, T D, 1976. "Optimal Critical Values for Pre-Testing in Regression," Econometrica, Econometric Society, vol. 44(2), pages 365-375, March.
    3. Elliott, Graham & Timmermann, Allan, 2004. "Optimal forecast combinations under general loss functions and forecast error distributions," Journal of Econometrics, Elsevier, vol. 122(1), pages 47-79, September.
    4. Sune Karlsson & Tor Jacobson, 2004. "Finding good predictors for inflation: a Bayesian model averaging approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(7), pages 479-496.
    5. Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2012. "Does Forecast Combination Improve Norges Bank Inflation Forecasts?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 163-179, April.
    6. Yang, Yuhong, 2004. "Combining Forecasting Procedures: Some Theoretical Results," Econometric Theory, Cambridge University Press, vol. 20(1), pages 176-222, February.
    7. Magnus, Jan R. & Wan, Alan T.K. & Zhang, Xinyu, 2011. "Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1331-1341, March.
    8. G. Elliott & C. Granger & A. Timmermann (ed.), 2006. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 1, number 1.
    9. Ruud, Paul A., 2000. "An Introduction to Classical Econometric Theory," OUP Catalogue, Oxford University Press, number 9780195111644.
    10. Swamy, P A V B, 1970. "Efficient Inference in a Random Coefficient Regression Model," Econometrica, Econometric Society, vol. 38(2), pages 311-323, March.
    11. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.
    12. Dale J. Poirier, 1995. "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262161494, December.
    13. Magnus, Jan R. & Powell, Owen & Prüfer, Patricia, 2010. "A comparison of two model averaging techniques with an application to growth empirics," Journal of Econometrics, Elsevier, vol. 154(2), pages 139-153, February.
    14. Giles, Judith A & Giles, David E A, 1993. "Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 145-197, June.
    15. Wan, Alan T. K. & Zou, Guohua, 2003. "Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure," Journal of Econometrics, Elsevier, vol. 114(1), pages 165-196, May.
    16. Wan, Alan T.K. & Zhang, Xinyu & Zou, Guohua, 2010. "Least squares model averaging by Mallows criterion," Journal of Econometrics, Elsevier, vol. 156(2), pages 277-283, June.
    17. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, June.
    18. Aiolfi, Marco & Timmermann, Allan, 2006. "Persistence in forecasting performance and conditional combination strategies," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 31-53.
    19. Jan R. Magnus, 2002. "Estimation of the mean of a univariate normal distribution with known variance," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 225-236, June.
    20. 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.
    21. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012. "WALS Prediction," Other publications TiSEM 7715e942-b446-4985-8216-f, Tilburg University, School of Economics and Management.
    2. Jan R. Magnus & Wendun Wang & Xinyu Zhang, 2016. "Weighted-Average Least Squares Prediction," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1040-1074, June.
    3. Xinyu Zhang & Alan T. K. Wan & Sherry Z. Zhou, 2011. "Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 132-142, June.
    4. Samuels, Jon D. & Sekkel, Rodrigo M., 2017. "Model Confidence Sets and forecast combination," International Journal of Forecasting, Elsevier, vol. 33(1), pages 48-60.
    5. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
    6. Sancetta, Alessio, 2007. "Online forecast combinations of distributions: Worst case bounds," Journal of Econometrics, Elsevier, vol. 141(2), pages 621-651, December.
    7. Zongwu Cai & Chaoqun Ma & Xianhua Mi, 2020. "Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202016, University of Kansas, Department of Economics, revised Sep 2020.
    8. Judith Anne Clarke, 2017. "Model Averaging OLS and 2SLS: An Application of the WALS Procedure," Econometrics Working Papers 1701, Department of Economics, University of Victoria.
    9. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
    10. Magnus, Jan R. & Wan, Alan T.K. & Zhang, Xinyu, 2011. "Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1331-1341, March.
    11. Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2016. "Generalized Least Squares Model Averaging," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1692-1752, December.
    12. Soybilgen, Barış & Yazgan, Ege, 2018. "Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate," Economic Modelling, Elsevier, vol. 72(C), pages 99-108.
    13. Aman Ullah & Alan T. K. Wan & Huansha Wang & Xinyu Zhang & Guohua Zou, 2017. "A semiparametric generalized ridge estimator and link with model averaging," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 370-384, March.
    14. Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    15. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317974, HAL.
    16. Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2019. "On the Forecast Combination Puzzle," Econometrics, MDPI, vol. 7(3), pages 1-26, September.
    17. Sancetta, A., 2007. "Online Forecast Combination for Dependent Heterogeneous Data," Cambridge Working Papers in Economics 0718, Faculty of Economics, University of Cambridge.
    18. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29, January.
    19. Katja Heinisch & Rolf Scheufele, 2018. "Bottom-up or direct? Forecasting German GDP in a data-rich environment," Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
    20. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiucen:7715e942-b446-4985-8216-f1a9fb2a9039. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: http://center.uvt.nl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.