ISSN:
1435-5477
Keywords:
JEL classification: C32, C22
;
Key words: Combination forecasts, principal component regression, James-Stein estimation
Source:
Springer Online Journal Archives 1860-2000
Topics:
Economics
Notes:
Abstract. A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting, this leads to combination forecasts that are based on methods other than OLS. These methods perform well in a Monte Carlo experiment. These methods are evaluated empirically in a panel of simulated real-time computer-generated univariate forecasts of U.S. macroeconomic time series.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s101080050005
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