Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive … calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. It … models to evaluate out of sample. Furthermore, computing effective degrees of freedom shows that the complexity cost of a …

economic models. For an abstract economic system, this paper shows that the foundation of applying the filtering method … class of models, which can be represented and estimated without information loss. The proposed framework elucidates the …

evolution has been largely fostered by official statistics' digital transformation during the last decade. The COVID-19 pandemic …

correlations offer a convenient statistically based measure of the strength of an economic relationship. A key question arises in … correlations from a diverse group of economics fields. The median absolute partial correlation from these fields is 0.173, which … under Cohens (1988) conventional guidelines for zero order correlations is a small to moderate effect. The paper develops …

series include every M-state Markov switching multivariate moving average models and autoregressive models in which the … models. Data simulations and an application on foreign exchange rates complete the paper …