Multivariate Rank-Based Forecast Combining Techniques
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Universitätsbibliothek Dortmund
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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.
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combination of forecasts, multivariate combination of forecasts, simulation, variance-covariance structure