The Influence of the Variance-Covariance Structure on the Performance of Forecast Combining Techniques
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Date
1998
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Publisher
Universitätsbibliothek Dortmund
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Abstract
We simulate forecast errors with different variance-covariance structures based on macroeconomic data. The simulations are used to compare the performance of different forecast combining techniques.
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Keywords
combination of forecasts, simulation, variance-covariance structure