Jore, Anne Sofie; Mitchell, James; Vahey, Shaun P. - In: Journal of Applied Econometrics 25 (2010) 4, pp. 621-634
Recursive-weight forecast combination is often found to an ineffective method of improving point forecast accuracy in the presence of uncertain instabilities. We examine the effectiveness of this strategy for forecast densities using (many) vector autoregressive (VAR) and autoregressive (AR)...