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Forecast combination and encompassing: Reconciling two divergent literatures

Citations

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Cited by:

  1. Camille Cornand & Paul Hubert, 2020. "On the external validity of experimental inflation forecasts," Post-Print hal-02894262, HAL.
  2. Sailesh BHAGHOE & Gavin OOFT, 2023. "Nowcasting quarterly GDP growth in Suriname with factor-MIDAS and mixed-frequency VAR models," Journal of Economics and Political Economy, EconSciences Journals, vol. 10(1), pages 1-18, March.
  3. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  4. Massimiliano Marcellino, "undated". "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  5. Yusupova, Alisa & Pavlidis, Nicos G. & Pavlidis, Efthymios G., 2023. "Dynamic linear models with adaptive discounting," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1925-1944.
  6. Antonis Michis, 2012. "Monitoring Forecasting Combinations with Semiparametric Regression Models," Working Papers 2012-2, Central Bank of Cyprus.
  7. Francis X. Diebold & Roberto S. Mariano, 1991. "Comparing predictive accuracy I: an asymptotic test," Discussion Paper / Institute for Empirical Macroeconomics 52, Federal Reserve Bank of Minneapolis.
  8. Webby, Richard & O'Connor, Marcus, 1996. "Judgemental and statistical time series forecasting: a review of the literature," International Journal of Forecasting, Elsevier, vol. 12(1), pages 91-118, March.
  9. Danese, Pamela & Kalchschmidt, Matteo, 2011. "The role of the forecasting process in improving forecast accuracy and operational performance," International Journal of Production Economics, Elsevier, vol. 131(1), pages 204-214, May.
  10. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
  11. Ulph, A., 1993. "Environmental policy and international trade when governments and producers act strategically," Discussion Paper Series In Economics And Econometrics 9318, Economics Division, School of Social Sciences, University of Southampton.
  12. West, Kenneth D., 2001. "Encompassing tests when no model is encompassing," Journal of Econometrics, Elsevier, vol. 105(1), pages 287-308, November.
  13. Mihaela Simionescu (Bratu), 2014. "The Performance of Predictions Based on the Dobrescu Macromodel for the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 179-195, October.
  14. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  15. Cornand, Camille & Hubert, Paul, 2020. "On the external validity of experimental inflation forecasts: A comparison with five categories of field expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
  16. Timo Dimitriadis & iaochun Liu & Julie Schnaitmann, 2023. "Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 412-444.
  17. Antonis Michis, 2012. "Monitoring Forecasting Combinations with Semiparametric Regression Models," Working Papers 2012-02, Central Bank of Cyprus.
  18. repec:lan:wpaper:470 is not listed on IDEAS
  19. Ulrich Gunter & Irem Önder & Egon Smeral, 2020. "Are Combined Tourism Forecasts Better at Minimizing Forecasting Errors?," Forecasting, MDPI, vol. 2(3), pages 1-19, June.
  20. Roccazzella, Francesco & Candelon, Bertrand, 2022. "Should we care about ECB inflation expectations?," LIDAM Discussion Papers LFIN 2022004, Université catholique de Louvain, Louvain Finance (LFIN).
  21. Roberto Tatiwa Ferreira & Herman Bierens & Ivan Castelar, 2005. "Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(3), pages 261-292.
  22. Aldrich, J., 1992. "Haavelmo's Identification Theory," Discussion Paper Series In Economics And Econometrics 9218, Economics Division, School of Social Sciences, University of Southampton.
  23. Lessmann, Stefan & Sung, Ming-Chien & Johnson, Johnnie E.V. & Ma, Tiejun, 2012. "A new methodology for generating and combining statistical forecasting models to enhance competitive event prediction," European Journal of Operational Research, Elsevier, vol. 218(1), pages 163-174.
  24. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
  25. Bec, Frédérique & Mogliani, Matteo, 2015. "Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
  26. Kraay, Aart & Monokroussos, George, 1999. "Growth forecasts using time series and growth models," Policy Research Working Paper Series 2224, The World Bank.
  27. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
  28. Yang, Dazhi & van der Meer, Dennis, 2021. "Post-processing in solar forecasting: Ten overarching thinking tools," Renewable and Sustainable Energy Reviews, Elsevier, vol. 140(C).
  29. Panos K. Pouliasis & Ilias D. Visvikis & Nikos C. Papapostolou & Alexander A. Kryukov, 2020. "A novel risk management framework for natural gas markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 430-459, March.
  30. Giacomini, Raffaella & Komunjer, Ivana, 2005. "Evaluation and Combination of Conditional Quantile Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 416-431, October.
  31. repec:lan:wpaper:425 is not listed on IDEAS
  32. Dimitriadis, Timo & Schnaitmann, Julie, 2021. "Forecast encompassing tests for the expected shortfall," International Journal of Forecasting, Elsevier, vol. 37(2), pages 604-621.
  33. repec:spo:wpmain:info:hdl:2441/7t8isspkbs8hk8kol9kk9sjdl6 is not listed on IDEAS
  34. Cornand, Camille & Hubert, Paul, 2020. "On the external validity of experimental inflation forecasts: A comparison with five categories of field expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
  35. Chen, Xiaohong & Hong, Han & Shum, Matthew, 2007. "Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models," Journal of Econometrics, Elsevier, vol. 141(1), pages 109-140, November.
  36. Hsiao, Cheng & Wan, Shui Ki, 2011. "Comparison of forecasting methods with an application to predicting excess equity premium," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1235-1246.
  37. Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
  38. Ulph, A., 1997. "Political institutions and the design of environmental policy in a federal system with asymmetric information," Discussion Paper Series In Economics And Econometrics 9718, Economics Division, School of Social Sciences, University of Southampton.
  39. Ken Holden & John Thompson, 1997. "Combining forecasts, encompassing and the properties of UK macroeconomic forecasts," Applied Economics, Taylor & Francis Journals, vol. 29(11), pages 1447-1458.
  40. repec:lan:wpaper:413 is not listed on IDEAS
  41. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196, Elsevier.
  42. Tawn, R. & Browell, J., 2022. "A review of very short-term wind and solar power forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 153(C).
  43. Ulph, A., 1995. "International environmental regulation when national governments act strategically," Discussion Paper Series In Economics And Econometrics 9518, Economics Division, School of Social Sciences, University of Southampton.
  44. Karine Bouthevillain, 1993. "La prévision macro-économique : précision relative et consensus," Économie et Prévision, Programme National Persée, vol. 108(2), pages 97-126.
  45. Sidika Basci & Asad Zaman & Arzdar Kiraci, 2010. "Variance Estimates and Model Selection," International Econometric Review (IER), Economic Research Association, vol. 2(2), pages 57-72, September.
  46. Asad Zaman, 2017. "Lessons in Econometric Methodology: The Axiom of Correct Specification," International Econometric Review (IER), Economic Research Association, vol. 9(2), pages 50-68, September.
  47. repec:lan:wpaper:539557 is not listed on IDEAS
  48. Camille Cornand & Paul Hubert, 2018. "On the external validity of experimental inflation forecasts: A comparison with five categories of field expectations," Working Papers halshs-01890770, HAL.
  49. Qizilbash, M., 1994. "Bribery, efficiency wages and political protection," Discussion Paper Series In Economics And Econometrics 9418, Economics Division, School of Social Sciences, University of Southampton.
  50. Timo Dimitriadis & Julie Schnaitmann, 2019. "Forecast Encompassing Tests for the Expected Shortfall," Papers 1908.04569, arXiv.org, revised Aug 2020.
  51. Ericsson, Neil R., 1992. "Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 465-495, August.
  52. Diebold, Francis X. & Shin, Minchul, 2019. "Machine learning for regularized survey forecast combination: Partially-egalitarian LASSO and its derivatives," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1679-1691.
  53. Chadha, J.S. & Schellekens, P., 1998. "Utility functions for central bankers: the not so drastic quadratic," Discussion Paper Series In Economics And Econometrics 9818, Economics Division, School of Social Sciences, University of Southampton.
  54. Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  55. Huiyu Huang & Tae-Hwy Lee, 2010. "To Combine Forecasts or to Combine Information?," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 534-570.
  56. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.
  57. Ewa Ratuszny, 2015. "Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 129-156.
  58. Fang, Yue, 2003. "Forecasting combination and encompassing tests," International Journal of Forecasting, Elsevier, vol. 19(1), pages 87-94.
  59. Cook, S., 1996. "Econometric methodology I," Discussion Paper Series In Economics And Econometrics 9618, Economics Division, School of Social Sciences, University of Southampton.
  60. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, June.
  61. Andrew B. Martinez & Neil R. Ericsson, 2025. "Improving empirical models and forecasts with saturation-based machine learning," Annals of Operations Research, Springer, vol. 346(1), pages 447-487, March.
  62. repec:spo:wpmain:info:hdl:2441/6o4qdck7489u7pqc068eeuqsnq is not listed on IDEAS
  63. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Working Papers halshs-01317974, HAL.
  64. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, 06.
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