Fomby, Thomas B; Samanta, Subarna K - In: Journal of Business & Economic Statistics 9 (1991) 4, pp. 391-407
The authors propose some Stein-rule combination forecasting methods that are designed to ameliorate the estimation of risk inherent in making operational the variance-covariance method for constructing combination weights. By Monte Carlo simulation, it is shown that this amelioration can be...