An approach to increasing forecast-combination accuracy through VAR error modeling
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- Till Weigt & Bernd Wilfling, 2021. "An approach to increasing forecast‐combination accuracy through VAR error modeling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 686-699, July.
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Cited by:
- Verena Monschang & Bernd Wilfling, 2022. "A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction," CQE Working Papers 9722, Center for Quantitative Economics (CQE), University of Muenster.
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More about this item
Keywords
Forecast combinations; large time-varying parameter VARs; Bayesian VAR estimation; state-space model; forgetting factors; dynamic model averaging.;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-02-26 (Econometrics)
- NEP-ETS-2018-02-26 (Econometric Time Series)
- NEP-FOR-2018-02-26 (Forecasting)
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