Forecast combination in a dynamic setting

N. Edward Coulson · Russell P. Robins

45 citations0/0 files storedJournal of Forecasting

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical and numerical algorithms

Abstract

Abstract We examine the implications of allowing lags into forecast combination regressions, thereby extending previous models. The practical conclusion is that lagged dependent variables, but not lagged forecasts, improve forecast combination procedures. Also, improvements are obtained when nonstationarity of the data is recognized.

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1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1969The Combination of Forecasts 2000Forecasting Economic Time Series 1984Improved methods of combining forecasts 1977Forecasting Economic Time Series 1978Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England 2000Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England 1989Invited review combining forecasts—twenty years later

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