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Investigating improvements in the accuracy of prediction intervals for combinations of forecasts: A simulation study

  • Taylor, James W.
  • Bunn, Derek W.
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    File URL: http://www.sciencedirect.com/science/article/B6V92-3WRBPHX-7/2/bef42bcd66bef86a51a28477c88bcd47
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    Article provided by Elsevier in its journal International Journal of Forecasting.

    Volume (Year): 15 (1999)
    Issue (Month): 3 (July)
    Pages: 325-339

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    Handle: RePEc:eee:intfor:v:15:y:1999:i:3:p:325-339
    Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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    1. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-44, April.
    2. Wilpen L. Gorr & Cheng Hsu, 1985. "An Adaptive Filtering Procedure for Estimating Regression Quantiles," Management Science, INFORMS, vol. 31(8), pages 1019-1029, August.
    3. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-35, April.
    4. Gelinas, Rene & Lefrancois, Pierre, 1993. "On the estimation of time-series quantiles using smoothed order statistics," International Journal of Forecasting, Elsevier, vol. 9(2), pages 227-243, August.
    5. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    6. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
    7. Yar, Mohammed & Chatfield, Chris, 1990. "Prediction intervals for the Holt-Winters forecasting procedure," International Journal of Forecasting, Elsevier, vol. 6(1), pages 127-137.
    8. Aksu, Celal & Gunter, Sevket I., 1992. "An empirical analysis of the accuracy of SA, OLS, ERLS and NRLS combination forecasts," International Journal of Forecasting, Elsevier, vol. 8(1), pages 27-43, June.
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