The influence of the variance-covariance structure on the performance of forecast combining techniques

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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Year of publication:	1998
Authors:	Klapper, Matthias
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Prognoseverfahren \| Theorie \| Varianzanalyse \| Variance-covariance structure \| simulation \| combination of forecasts

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Series:	Technical Report ; 1998,39
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	811174964 [GVK] hdl:10419/77159 [Handle] RePEc:zbw:sfb475:199839 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010316502