and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two … types of restrictions are considered: positivity of the regression coefficient and positivity of the forecast. Bagging … bagging. Monte Carlo simulations show that forecast gains can be achieved in realistic sample sizes for the stock return …

finding to current forecast combination methods and bagging and propose a new averaging scheme. The performance of various …

-break models are invalid. In doing so, we establish new distribution theory for structural break models under the relaxed … distribution theory involves cube-root asymptotics and it is used to shed light on forecasting practice. We show that the … strategy, which incorporates our new distribution theory, and apply our forecasting method to numerous macroeconomic data. The …

bagging as an alternative approach to Hall and Huang (2001). Asymptotic properties of our proposed estimators and forecasts …

(bagging) of exponential smoothing methods. The bagging uses a Box-Cox transformation followed by an STL decomposition to …