The Influence of the Variance-Covariance Structure on the Performance of Forecast Combining Techniques

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Date

1998

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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

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