Authors: Matthias Klapper
Title: Multivariate Rank-Based Forecast Combining Techniques
Language (ISO): en
Abstract: 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.
Subject Headings: combination of forecasts
multivariate combination of forecasts
simulation
variance-covariance structure
URI: http://hdl.handle.net/2003/4918
http://dx.doi.org/10.17877/DE290R-6931
Issue Date: 1999
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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