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

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  • Taylor, James W.
  • Bunn, Derek W.

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  • Taylor, James W. & Bunn, Derek W., 1999. "Investigating improvements in the accuracy of prediction intervals for combinations of forecasts: A simulation study," International Journal of Forecasting, Elsevier, vol. 15(3), pages 325-339, July.
  • Handle: RePEc:eee:intfor:v:15:y:1999:i:3:p:325-339
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    References listed on IDEAS

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    1. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, pages 559-583.
    2. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
    3. Yar, Mohammed & Chatfield, Chris, 1990. "Prediction intervals for the Holt-Winters forecasting procedure," International Journal of Forecasting, Elsevier, pages 127-137.
    4. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-144, April.
    5. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-135, April.
    6. Gelinas, Rene & Lefrancois, Pierre, 1993. "On the estimation of time-series quantiles using smoothed order statistics," International Journal of Forecasting, Elsevier, pages 227-243.
    7. 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, pages 27-43.
    8. Wilpen L. Gorr & Cheng Hsu, 1985. "An Adaptive Filtering Procedure for Estimating Regression Quantiles," Management Science, INFORMS, pages 1019-1029.
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    Cited by:

    1. O'Connor, Marcus & Remus, William & Griggs, Kenneth, 2001. "The asymmetry of judgemental confidence intervals in time series forecasting," International Journal of Forecasting, Elsevier, vol. 17(4), pages 623-633.
    2. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    3. Mihaela Simionescu, 2014. "M1 and M2 indicators- new proposed measures for the global accuracy of forecast intervals," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 2(1), pages 54-59, June.
    4. repec:ntu:ntugeo:vol2-iss1-14-054 is not listed on IDEAS
    5. Isengildina-Massa, Olga & Irwin, Scott H. & Good, Darrel L., 2010. "Quantile Regression Estimates of Confidence Intervals for WASDE Price Forecasts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 35(3), December.
    6. Isengildina-Massa, Olga & Irwin, Scott H. & Good, Darrel L., 2008. "Quantile Regression Methods of Estimating Confidence Intervals for WASDE Price Forecasts," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6409, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Yan, Jie & Liu, Yongqian & Han, Shuang & Wang, Yimei & Feng, Shuanglei, 2015. "Reviews on uncertainty analysis of wind power forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 1322-1330.
    8. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    9. Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94.
    10. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.

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