Hansen, Bruce E. - In: Journal of Econometrics 146 (2008) 2, pp. 342-350
This paper proposes forecast combination based on the method of Mallows Model Averaging (MMA). The method selects forecast weights by minimizing a Mallows criterion. This criterion is an asymptotically unbiased estimate of both the in-sample mean-squared error (MSE) and the out-of-sample...