The influence of the variance-covariance structure on the performance of forecast combining techniques
Matthias Klapper
| Year of publication: |
1998
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|---|---|
| Authors: | Klapper, Matthias |
| Publisher: |
Dortmund : SFB 475, Universität Dortmund |
| Subject: | Variance-covariance structure | simulation | combination of forecasts | Prognoseverfahren (STW) | Theorie (STW) | Varianzanalyse (STW) | Prognoseverfahren | Forecasting model | Theorie | Theory |
| Description of contents: |
We simulate forecast errors with different variance-covariance structures based on macroeconomic data. The simulations are used to compare the performance of different forecast combining techniques.
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