Fuchun, Li; Greg, Tkacz - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 4, pp. 1-18
We introduce a flexible nonparametric technique that can be used to select weights in a forecast-combining regression. We perform a Monte Carlo study that evaluates the performance of the proposed technique along with other linear and nonlinear forecast-combining procedures. The simulation...