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Least-squares forecast averaging
16 references·16 citing·33 second hopsampled
Least-squares forecast averaging (2008)Least-squares forecast averagingHandbook of Economic Forecasting (2013)Handbook of Economic Forecast…Chapter 4 Forecast Combinations (2006)Chapter 4 Forecast Combinatio…Chapter 10 Forecasting with Many Predictors (2006)Chapter 10 Forecasting with M…Pooling of forecasts (2004)Pooling of forecastsDeterminants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach (2004)Determinants of Long-Term Gro…Combination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…Stock return predictability and model uncertainty (2002)Stock return predictability a…What have we learned from a decade of empirical research on growth? Growth Empirics and Reality (2001)What have we learned from a d…Model uncertainty in cross‐country growth regressions (2001)Model uncertainty in cross‐co…A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series (1999)A Comparison of Linear and No…8 Forecast evaluation and combination (1996)8 Forecast evaluation and com…Combining forecasts: A review and annotated bibliography (1990)Combining forecasts: A review…Invited review combining forecasts—twenty years later (1989)Invited review combining fore…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…Improved methods of combining forecasts (1984)Improved methods of combining…The Combination of Forecasts (1969)The Combination of ForecastsSocial media sentiment, model uncertainty, and volatility forecasting (2021)Social media sentiment, model…The forecast combination puzzle: A simple theoretical explanation (2016)The forecast combination puzz…Model Confidence Sets and forecast combination (2016)Model Confidence Sets and for…Optimal combination of survey forecasts (2015)Optimal combination of survey…Forecasting with factor-augmented regression: A frequentist model averaging approach (2015)Forecasting with factor-augme…Complete subset regressions with large-dimensional sets of predictors (2015)Complete subset regressions w…Improving the Quality of Prediction Intervals Through Optimal Aggregation (2014)Improving the Quality of Pred…A Quantile Regression Approach to Equity Premium Prediction (2014)A Quantile Regression Approac…Time-varying combinations of predictive densities using nonlinear filtering (2013)Time-varying combinations of …Is there an optimal forecast combination? (2013)Is there an optimal forecast …Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering (2012)Time-Varying Combinations of …To Combine Forecasts or to Combine Information? (2010)To Combine Forecasts or to Co…Combined forecasts in portfolio optimization: A generalized approach (2010)Combined forecasts in portfol…Averaging estimators for autoregressions with a near unit root (2010)Averaging estimators for auto…Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset (2009)Comparing Greenbook and Reduc…Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK (2009)Are More Data Always Better f…Time Series Analysis: Forecasting and Control (1977)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)Carbon Tail Risk (2018)Empirical Asset Pricing via Machine Learning (2020)The M3-Competition: results, conclusions and implications (2000)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Forecasting: theory and practice (2022)Expert judgment: Some necessary conditions and an example. 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(1999)Does financial liberalization spur growth? (2005)Do better schools lead to more growth? Cognitive skills, economic outcomes, and causation (2012)How economic growth, renewable electricity and natural resources contribute to CO2 emissions? (2017)The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Forecasting Output and Inflation: The Role of Asset Prices (2003)
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References

  • 1969The Combination of Forecasts3,194 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 2004Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach2,112 cited
  • 1990Combining forecasts: A review and annotated bibliography1,465 cited
  • 2006Chapter 4 Forecast Combinations1,318 cited
  • 2013Handbook of Economic Forecasting1,216 cited
  • 1984Improved methods of combining forecasts1,152 cited
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 2001Model uncertainty in cross‐country growth regressions892 cited
  • 2002Stock return predictability and model uncertainty636 cited
  • 19968 Forecast evaluation and combination536 cited
  • 2001What have we learned from a decade of empirical research on growth? Growth Empirics and Reality530 cited
  • 2004Pooling of forecasts484 cited
  • 1999A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series446 cited
  • 2006Chapter 10 Forecasting with Many Predictors382 cited
  • 1989Invited review combining forecasts—twenty years later

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321 cited

Cited by

  • 2016The forecast combination puzzle: A simple theoretical explanation246 cited
  • 2009Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset241 cited
  • 2013Time-varying combinations of predictive densities using nonlinear filtering152 cited
  • 2013Is there an optimal forecast combination?149 cited
  • 2015Forecasting with factor-augmented regression: A frequentist model averaging approach141 cited
  • 2010To Combine Forecasts or to Combine Information?107 cited
  • 2015Optimal combination of survey forecasts90 cited
  • 2010Averaging estimators for autoregressions with a near unit root81 cited
  • 2016Model Confidence Sets and forecast combination65 cited
  • 2009Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK64 cited
  • 2012Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering62 cited
  • 2014Improving the Quality of Prediction Intervals Through Optimal Aggregation58 cited
  • 2014A Quantile Regression Approach to Equity Premium Prediction48 cited
  • 2021Social media sentiment, model uncertainty, and volatility forecasting45 cited
  • 2010Combined forecasts in portfolio optimization: A generalized approach44 cited
  • 2015Complete subset regressions with large-dimensional sets of predictors44 cited