Showing 31 - 40 of 929
Persistent link: https://www.econbiz.de/10006013988
Persistent link: https://www.econbiz.de/10006756218
Persistent link: https://www.econbiz.de/10007989505
This article proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme...
Persistent link: https://www.econbiz.de/10014061887
Existing results on the properties and performance of forecast combinations have been derived in the context of mean squared error loss. Under this loss function empirical studies have generally found that estimates of optimal forecast combination weights lead to higher losses than...
Persistent link: https://www.econbiz.de/10014113648
Persistent link: https://www.econbiz.de/10013424514
Forecasts guide decisions in all areas of economics and finance and their value can only be understood in relation to, and in the context of, such decisions. We discuss the central role of the loss function in helping determine the forecaster's objectives. Decision theory provides a framework...
Persistent link: https://www.econbiz.de/10005756732
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information...
Persistent link: https://www.econbiz.de/10012254696
This paper proposes a new method for combining forecasts based on complete subset regressions. For a given set of potential predictor variables we combine forecasts from all possible linear regression models that keep the number of predictors fixed. We explore how the choice of model complexity,...
Persistent link: https://www.econbiz.de/10010709435
Persistent link: https://www.econbiz.de/10005122772