Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle
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- Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle," Working Paper series 17_12, Rimini Centre for Economic Analysis.
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More about this item
KeywordsNonparametric Stochastic Dominance; Mixed Integer Programming; Forecast combinations; Forecast combination;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2012-04-23 (Central Banking)
- NEP-ECM-2012-04-23 (Econometrics)
- NEP-ETS-2012-04-23 (Econometric Time Series)
- NEP-FOR-2012-04-23 (Forecasting)
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