Combining forecasts using optimal combination weight and generalized autoregression
In this paper, we consider a combined forecast using an optimal combination weight in a generalized autoregression framework. The generalized autoregression provides not only a combined forecast but also an optimal combination weight for combining forecasts. By simulation, we find that short- and medium-horizon (as well as partly long-horizon) forecasts from the generalized autoregression using the optimal combination weight are more efficient than those from the usual autoregression in terms of the mean-squared forecast error. An empirical application with US gross domestic product confirms the simulation result. Copyright © 2008 John Wiley & Sons, Ltd.
Volume (Year): 27 (2008)
Issue (Month): 5 ()
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References listed on IDEAS
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- Gourieroux,Christian & Monfort,Alain, 1997.
"Time Series and Dynamic Models,"
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