THE COMBINATION OF FORECASTS USING CHANGING WEIGHTS

被引：81

作者：

DEUTSCH, M ^{[1
]}

GRANGER, CWJ ^{[1
]}

TERASVIRTA, T ^{[1
]}

机构：

[1] BANK NORWAY,RES DEPT,N-0107 OSLO,NORWAY

来源：

INTERNATIONAL JOURNAL OF FORECASTING | 1994年 / 10卷 / 01期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0169-2070(94)90049-3

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper considers the combination of forecasts using changing weights derived from switching regression models or from smooth transition regression models. The regimes associated with the switches may not be known to the forecaster and thus need to be estimated. Several approaches to this problem are considered. In two empirical examples, these time-varying combining procedures produced smaller, in some cases substantially smaller, out-of-sample squared forecast errors than those obtained using the simple linear combining model.

引用

页码：47 / 57

页数：11

共 16 条

[11]

LIN CJ, 1994, IN PRESS J ECONOMETR

[12]

Quandt R.E., 1973, J ECONOMETRICS, V1, P3, DOI [DOI 10.1016/0304-4076(73)90002-X, 10.1016/0304-4076(73)90002-X]

[13] THE ESTIMATION OF THE PARAMETERS OF A LINEAR-REGRESSION SYSTEM OBEYING 2 SEPARATE REGIMES [J].

QUANDT, RE .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1958, 53 (284) :873-880

[14] THE COMBINING OF FORECASTS USING RECURSIVE TECHNIQUES WITH NON-STATIONARY WEIGHTS [J].

SESSIONS, DN ;

CHATTERJEE, S .

JOURNAL OF FORECASTING, 1989, 8 (03) :239-251

[15]

STOCKTON DJ, 1987, REV EC STAT FEB, P108

[16]

[No title captured]

← 1 2 →