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Serial Correlation and the Combination of Forecasts

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  • Diebold, Francis X

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  • Diebold, Francis X, 1988. "Serial Correlation and the Combination of Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 105-111, January.
  • Handle: RePEc:bes:jnlbes:v:6:y:1988:i:1:p:105-11
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    Citations

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    Cited by:

    1. Paulo Soares Esteves & António Rua, 2012. "Short-term forecasting for the portuguese economy: a methodological overview," Economic Bulletin and Financial Stability Report Articles, Banco de Portugal, Economics and Research Department.
    2. Kenton Yee, 2008. "A Bayesian framework for combining valuation estimates," Review of Quantitative Finance and Accounting, Springer, vol. 30(3), pages 339-354, April.
    3. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
    4. 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.
    5. J. M. Gil & L. M. Albisu, 1993. "Composite Forecasting Methods: An Application To Spanish Maize Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(2), pages 264-271.
    6. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
    7. Bec, Frédérique & Mogliani, Matteo, 2015. "Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
    8. Pablo Pincheira, 2012. "Are Forecast Combinations Efficient?," Working Papers Central Bank of Chile 661, Central Bank of Chile.
    9. Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
    10. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, June.
    11. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, Elsevier.
    12. repec:eee:ecmode:v:70:y:2018:i:c:p:78-86 is not listed on IDEAS
    13. de Menezes, Lilian M. & W. Bunn, Derek & Taylor, James W., 2000. "Review of guidelines for the use of combined forecasts," European Journal of Operational Research, Elsevier, vol. 120(1), pages 190-204, January.
    14. Elkin Castaño V. & Luis Fernando Melo Velandia, 1998. "Métodos De Combinación De Pronósticos:Una Aplicación A La Inflación Colombiana," BORRADORES DE ECONOMIA 003212, BANCO DE LA REPÚBLICA.
    15. Ekrem Kilic, 2005. "Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models," Econometrics 0510007, EconWPA.
    16. Massimo Guidolin & Carrie Fangzhou Na, 2007. "The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns," Working Papers 2006-059, Federal Reserve Bank of St. Louis.
    17. Giovanni De Luca & Alfonso Carfora, 2014. "Predicting U.S. recessions through a combination of probability forecasts," Empirical Economics, Springer, vol. 46(1), pages 127-144, February.
    18. Elkin Castaño Vélez & Luis Fernando Melo Velandia, 2000. "Metodos de combinacion de pronosticos: una aplicacion a la inflacion," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 52, pages 113-165, Enero Jun.
    19. de Menezes, Lilian M. & Bunn, Derek W., 1998. "The persistence of specification problems in the distribution of combined forecast errors," International Journal of Forecasting, Elsevier, vol. 14(3), pages 415-426, September.

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