Optimal Forecast Combination Under Regime Switching
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- Graham Elliott & Allan Timmermann, 2005. "Optimal Forecast Combination Under Regime Switching ," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 46(4), pages 1081-1102, November.
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Keywordsforecast combination; Markov switching; survey data; time-varying combination weights;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-13 (All new papers)
- NEP-ECM-2005-02-13 (Econometrics)
- NEP-ETS-2005-02-13 (Econometric Time Series)
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