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Combination of biased forecasts: Bias correction or bias based weights?

Wenzel, Thomas - 1999

Most of the literature on combination of forecasts deals with the assumption of unbiased individual forecasts. Here, we consider the case of biased forecasts and discuss two different combination techniques resulting in an unbiased forecast. On the one hand we correct the individual forecasts,...

Persistent link: https://www.econbiz.de/10010316655

Panel regression with random noise

Ronning, Gerd; Schneeweiss, Hans - 2009

The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct consistent and asymptotically normal estimators. In addition, we...

Persistent link: https://www.econbiz.de/10010264605

Extended Beta Regression in R: Shaken, Stirred, Mixed, and Partitioned

Grün, Bettina; Kosmidis, Ioannis; Zeileis, Achim - 2011

Beta regression - an increasingly popular approach for modeling rates and proportions - is extended in various … directions: (a) bias correction/reduction of the maximum likelihood estimator, (b) beta regression tree models by means of … recursive partitioning, (c) latent class beta regression by means of finite mixture models. All three extensions may be of …

Persistent link: https://www.econbiz.de/10010294793

Multivariate rank-based forecast combining techniques

Klapper, Matthias - 1999

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.

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

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

Klapper, Matthias - 1998

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.

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

Pitman-closeness and the linear combination of multivariate forecasts

Wenzel, Thomas - 1998

We use the Pitman-closeness criterion to evaluate the performance of multivariate forecasting methods and we also calculate optimal matrices of weights for the linear combination of multivariate forecasts. These weights are identical with the optimal weights under the matrix-MSE criterion.

Persistent link: https://www.econbiz.de/10010316562

Hits-and-misses for the evaluation and combination of forecasts

Wenzel, Thomas - 2000

Error measures for the evaluation of forecasts are usually based on the size of the forecast errors. Common measures are e.g. the Mean Squared Error (MSE), the Mean Absolute Deviation (MAD) or the Mean Absolute Percentage Error (MAPE). Alternative measures for the comparison of forecasts are...

Persistent link: https://www.econbiz.de/10010316615

A selective procedure for combining forecasts

Troschke, Sven-Oliver - 1998

If there are various forecasts for the same random variable, it is common practice to combine these forecasts in order to obtain a better forecast. But an important question is how to perform the combination, especially if the system under investigation is subject to structural changes and...

Persistent link: https://www.econbiz.de/10010316647

An evaluation of forecasting methods and forecast combination methods in goods management systems

Schneider, Carsten; Klapper, Matthias; Wenzel, Thomas - 1999

In this paper we use 4 different time series models to forecast sales in a goods management system. We use a variety of forecast combining techniques and measure the forecast quality by applying symmetric and asymmetric forecast quality measures. Simple, rank-, and criteria-based combining...

Persistent link: https://www.econbiz.de/10010316699

Combination of forecasts across estimation windows: An application to air travel demand

Jungmittag, Andre - 2014

This paper applies combining forecasts of air travel demand generated from the same model but over different estimation windows. The combination approach used resorts to Pesaran and Pick (2011), but the empirical application is extended in several ways. The forecasts are based on a seasonal...

Persistent link: https://www.econbiz.de/10010368974