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Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application

Author

Listed:
  • Keunkwan Ryu

    (UCLA)

  • Kuo-yuan Liang

    (UCLA)

Abstract

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Suggested Citation

  • Keunkwan Ryu & Kuo-yuan Liang, 1992. "Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application," UCLA Economics Working Papers 668, UCLA Department of Economics.
  • Handle: RePEc:cla:uclawp:668
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    File URL: http://www.econ.ucla.edu/workingpapers/wp668.pdf
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    References listed on IDEAS

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    1. Gordon Fisher & Michael McAleer, 1980. "The Interpretation of the Cox Test in Econometrics," Working Papers 371, Queen's University, Department of Economics.
    2. David F. Hendry, 2013. "Econometric Modelling: The ‘Consumption Function’ In Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 495-522, November.
    3. Armstrong, J. Scott, 1989. "Combining forecasts: The end of the beginning or the beginning of the end?," International Journal of Forecasting, Elsevier, vol. 5(4), pages 585-588.
    4. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. Clemen, Robert T., 1989. "Combining forecasts: A review and annotated bibliography," International Journal of Forecasting, Elsevier, vol. 5(4), pages 559-583.
    7. Renato Faccini, 2014. "Reassessing Labour Market Reforms: Temporary Contracts as a Screening Device," Economic Journal, Royal Economic Society, vol. 124(575), pages 167-200, March.
    8. Banerjee, Anindya & Hendry, David F & Mizon, Grayham E, 1996. "The Econometric Analysis of Economic Policy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 573-600, November.
    9. repec:cor:louvrp:-531 is not listed on IDEAS
    10. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, pages 817-858.
    11. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", pages 125-132.
    12. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 671-690.
    13. Heejoon Kang, 1986. "Unstable Weights in the Combination of Forecasts," Management Science, INFORMS, pages 683-695.
    14. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-678, May.
    15. Charemza, Wojciech W., 1991. "Large econometric models of an East European economy : A critique of the methodology," Economic Modelling, Elsevier, vol. 8(1), pages 45-62, January.
    16. Winkler, Robert L., 1989. "Combining forecasts: A philosophical basis and some current issues," International Journal of Forecasting, Elsevier, vol. 5(4), pages 605-609.
    17. Kennedy, Peter, 1989. "Non-nested Hypothesis Tests: A Diagrammatic Exposition," Australian Economic Papers, Wiley Blackwell, vol. 28(52), pages 160-165, June.
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