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Combining Forecasts Using Constrained M-Estimators

Author

Listed:
  • Lucia Augilar
  • Asunción Rubio
  • Jan Víšek

Abstract

The result of Clemen (1986) shows that the combination of unbiased forecasts by means of a LS-regression model without an intercept and with the constraint that coefficients sum to one gives less spread prediction than the general regression model. Here the result is generalized for the M -estimators of the regression model. In order to achieve this an asymptotic representation of the M -estimators is used.

Suggested Citation

  • Lucia Augilar & Asunción Rubio & Jan Víšek, 1996. "Combining Forecasts Using Constrained M-Estimators," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 3(4).
  • Handle: RePEc:czx:journl:v:3:y:1996:i:4:id:30
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/30
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