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Linear Combination of Information in Time Series Analysis

Author

Listed:
  • Victor M. Guerrero

    (Centro de Investigacion Economica (CIE), Instituto Tecnologico Autonomo de Mexico (ITAM))

  • Daniel Peña

    (Universidad Carlos III de Madrid)

Abstract

An important tool in time series analysis is that of combining information in an optimal manner. Here we establish a basic combining rule of linear estimators and exemplify its use with several different problems faced by a time series analyst. A compatibility test statistic is also provided as a companion of the combining rule. This statistic plays a fundamental role for obtaining sensible results from the combination and for pointing out some possibly new directions of analysis.

Suggested Citation

  • Victor M. Guerrero & Daniel Peña, 1995. "Linear Combination of Information in Time Series Analysis," Working Papers 9507, Centro de Investigacion Economica, ITAM.
    • Handle: RePEc:cie:wpaper:9507
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