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 …

observation windows and combining weights designed to minimize mean square forecast error. Monte Carlo experiments and several … empirical examples indicate that combination can often provide improvements in forecast accuracy relative to forecasts made …

equal forecast accuracy and forecast encompassing. The forecasts are generated from two parametric, linear models that are … power is harder to find with some tests than with others: The power of F-type tests of equal forecast accuracy and …