IDEAS home Printed from https://ideas.repec.org/a/czx/journl/v5y1998i8id61.html
   My bibliography  Save this article

Robust Constrained Combinations Of Forecasts

Author

Listed:
  • Jan Víšek

Abstract

Paper shows that, under assumption that the single forecasts which enter the combination are unbiased, imposing some constraints on coordinates of M -estimator (of corresponding regression coefficients) leads to a gain in the asymptotic variance of one-step forward prediction evaluated by means of combined forecast. Numerical illustration offers a possibility to create an idea about the magnitude of the gain, and it also hints which type of M -estimator is to be used.

Suggested Citation

  • Jan Víšek, 1998. "Robust Constrained Combinations Of Forecasts," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 5(8).
  • Handle: RePEc:czx:journl:v:5:y:1998:i:8:id:61
    as

    Download full text from publisher

    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/61
    Download Restriction: no

    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:czx:journl:v:5:y:1998:i:8:id:61. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik). General contact details of provider: http://edirc.repec.org/data/czessea.html .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.