Serial Correlation and the Combination of Forecasts

Francis X. Diebold

85 citations0/0 files storedJournal of Business and Economic Statistics

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Forecasting Techniques and Applications Spatial and Panel Data Analysis Statistical and numerical algorithms

Abstract

It is shown that regression-based methods of forecast combination lead to serially correlated combined prediction errors. The form of the serial correlation is characterized, and specification, estimation, and prediction are treated. A fully optimal combined predictor, which exploits the serial correlation, is developed and compared with existing regression-based methods in a numerical example, leading to decreases in mean squared prediction error.

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1969The Combination of Forecasts 2000Forecasting Economic Time Series 1984Improved methods of combining forecasts 1974Experience with Forecasting Univariate Time Series and the Combination of Forecasts 1977Forecasting Economic Time Series 1966The Typical Spectral Shape of an Economic Variable 1986Combining Economic Forecasts 1987Structural change and the combination of forecasts

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1990Combining Forecasts: Operational Adjustments to Theoretically Optimal Rules 2004Forecast Combination and Encompassing 1993Forecast combination in a dynamic setting

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