Online Forecast Combination for Dependent Heterogeneous Data
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References listed on IDEAS
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- Assenmacher-Wesche, Katrin & Pesaran, M. Hashem, 2007.
"Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows,"
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- Katrin Assenmacher-Wesche & M. Hashem Pesaran, 2007. "Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows," CESifo Working Paper Series 2116, CESifo Group Munich.
More about this item
KeywordsForecast Combination; Model Selection; Multiplicative Update; Non-asymptotic Bound; On-line Learning.;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-28 (All new papers)
- NEP-ECM-2007-04-28 (Econometrics)
- NEP-ETS-2007-04-28 (Econometric Time Series)
- NEP-FOR-2007-04-28 (Forecasting)
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