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Least-squares forecast averaging · Study

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ArticleLeast-squares forecast averaging

Bruce E. Hansen2008

Article2008

Least-squares forecast averaging

Bruce E. Hansen

270 citations·0/0 files stored·Journal of Econometrics

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Forecasting Techniques and Applications Statistical Methods and Inference Statistical and numerical algorithms

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References

1969The Combination of Forecasts 1989Combining forecasts: A review and annotated bibliography 2004Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach 1990Combining forecasts: A review and annotated bibliography 2006Chapter 4 Forecast Combinations 2013Handbook of Economic Forecasting 1984Improved methods of combining forecasts 2004Combination forecasts of output growth in a seven‐country data set

Cited by

2016The forecast combination puzzle: A simple theoretical explanation 2009Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset 2013Time-varying combinations of predictive densities using nonlinear filtering 2013Is there an optimal forecast combination?2015Forecasting with factor-augmented regression: A frequentist model averaging approach 2010To Combine Forecasts or to Combine Information?

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2015Forecasting with factor-augmented regression: A frequentist model averaging approacharticle · 16 shared references 2010Averaging estimators for autoregressions with a near unit rootarticle · 12 shared references 2006Chapter 10 Forecasting with Many Predictorschapter · 9 shared references 2008Forecasting US inflation by Bayesian model averagingarticle · 9 shared references 2009Forecast Combination and Encompassingchapter · 9 shared references 2010To Combine Forecasts or to Combine Information?article · 9 shared references

Details

Year2008

Typearticle

Published2008-09-08

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations270

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/j.jeconom.2008.08.022

openalex_workW2028147019

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2015

Optimal combination of survey forecasts

2010Averaging estimators for autoregressions with a near unit root