Robust forecast combinations
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DOI: 10.1016/j.jeconom.2011.09.035
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Citations
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Cited by:
- Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2022.
"Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 29-50,
Emerald Group Publishing Limited.
- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2015. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 5468, CESifo.
- Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2020. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 8810, CESifo.
- Gang Cheng & Sicong Wang & Yuhong Yang, 2015. "Forecast Combination under Heavy-Tailed Errors," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
- Cobb, Marcus P A, 2017. "Joint Forecast Combination of Macroeconomic Aggregates and Their Components," MPRA Paper 76556, University Library of Munich, Germany.
- A.S.M. Arroyo & A. de Juan Fern¨¢ndez, 2014. "Split-then-Combine Method for out-of-sample Combinations of Forecasts," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 3(1), pages 19-37, April.
- Cheng, Gang & Yang, Yuhong, 2015. "Forecast combination with outlier protection," International Journal of Forecasting, Elsevier, vol. 31(2), pages 223-237.
- Ma, Feng & Liu, Jing & Wahab, M.I.M. & Zhang, Yaojie, 2018. "Forecasting the aggregate oil price volatility in a data-rich environment," Economic Modelling, Elsevier, vol. 72(C), pages 320-332.
- Yongchen Zhao, 2021.
"The robustness of forecast combination in unstable environments: a Monte Carlo study of advanced algorithms,"
Empirical Economics, Springer, vol. 61(1), pages 173-199, July.
- Yongchen Zhao, 2015. "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers 2015-04, Towson University, Department of Economics, revised Mar 2020.
- Yongchen Zhao, 2015. "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms," Working Papers 2015-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ma, Feng & Li, Yu & Liu, Li & Zhang, Yaojie, 2018. "Are low-frequency data really uninformative? A forecasting combination perspective," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 92-108.
- Cheng, Tzu-Chang F. & Ing, Ching-Kang & Yu, Shu-Hui, 2015. "Toward optimal model averaging in regression models with time series errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 321-334.
- Jiun-Hua Su, 2021. "No-Regret Forecasting with Egalitarian Committees," Papers 2109.13801, arXiv.org.
- Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
- Xiaojie Xu, 2020. "Corn Cash Price Forecasting," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(4), pages 1297-1320, August.
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