Multivariate rank-based forecast combining techniques

We analyze macroeconomic data using univariate and multivariate forecast combining techniques. We simulate forecast errors with different variance-covariance structures. The simulations are used to compare the performance of univariate and multivariate combining techniques.

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Year of publication:	1999
Authors:	Klapper, Matthias
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Prognoseverfahren \| Multivariate Analyse \| Theorie \| Variance-covariance structure \| simulation \| combination of forecasts \| multivariate combination of forecasts.

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Series:	Technical Report ; 1999,02
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	768055776 [GVK] hdl:10419/77115 [Handle] RePEc:zbw:sfb475:199902 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316458