Kejriwal, Mohitosh; Nguyen, Linh; Yu, Xuewen - In: Econometrics : open access journal 11 (2023) 4, pp. 1-43
This paper presents a new approach to constructing multistep combination forecasts in a nonstationary framework with stochastic and deterministic trends. Existing forecast combination approaches in the stationary setup typically target the in-sample asymptotic mean squared error (AMSE), relying...