weights designed to minimize mean square forecast error. We then proceed to consider other methods of forecast combination …, including Bayesian methods that shrink the rolling forecast to the recursive and Bayesian model averaging. Monte Carlo … be obtained, some form of shrinkage can often provide improvements in forecast accuracy relative to forecasts made using …

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy when the models …

This paper examines the asymptotic and fi nite-sample properties of tests of equal forecast accuracy when the models …