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Forecast Combination and Encompassing
16 references·4 citing·34 second hop
Forecast Combination and Encompassing (2004)Forecast Combination and EncompassingTests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…8 Forecast evaluation and combination (1996)8 Forecast evaluation and com…On the limitations of comparing mean square forecast errors (1993)On the limitations of compari…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Comparing Information in Forecasts from Econometric Models (1990)Comparing Information in Fore…Combining forecasts: A review and annotated bibliography (1989)Combining forecasts: A review…Forecasting Economic Time Series (1986)Forecasting Economic Time Ser…Econometric Evaluation of Linear Macro-Economic Models (1986)Econometric Evaluation of Lin…Improved methods of combining forecasts (1984)Improved methods of combining…Averages of Forecasts: Some Empirical Results (1983)Averages of Forecasts: Some E…The accuracy of extrapolation (time series) methods: Results of a forecasting competition (1982)The accuracy of extrapolation…Experience with Forecasting Univariate Time Series and the Combination of Forecasts (1974)Experience with Forecasting U…The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy (1972)The Prediction Performance of…The Combination of Forecasts (1969)The Combination of ForecastsStock returns prediction using kernel adaptive filtering within a stock market interdependence approach (2020)Stock returns prediction usin…Panel Data Forecasting (2013)Panel Data ForecastingPooling forecasts in linear rational expectations models (2009)Pooling forecasts in linear r…Forecasting traffic accidents using disaggregated data (2006)Forecasting traffic accidents…Rank Correlation Methods. (1957)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Pooling of forecasts (2004)Time-Varying Risk Premiums and the Output Gap (2008)Short interest and aggregate stock returns (2016)Expert judgment: Some necessary conditions and an example. (1974)The M3-Competition: results, conclusions and implications (2000)Chapter 4 Forecast Combinations (2006)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)Time Series Analysis: Forecasting and Control (1977)Exponential smoothing: The state of the art (1985)Combining forecasts: A review and annotated bibliography (1990)Error measures for generalizing about forecasting methods: Empirical comparisons (1992)Forecasting methods and applications (1993)Forecasting Sales by Exponentially Weighted Moving Averages (1960)Bayesian Forecasting (1976)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Evaluating Density Forecasts with Applications to Financial Risk Management (1998)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Time series forecasting using a hybrid ARIMA and neural network model (2003)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Forecasting Output and Inflation: The Role of Asset Prices (2003)Combination forecasts of output growth in a seven‐country data set (2004)Forecasting: theory and practice (2022)Forecasting the behavior of multivariate time series using neural networks (1992)The Effectiveness of Antiterrorism Policies: A Vector-Autoregression-Intervention Analysis (1993)Economic and statistical measures of forecast accuracy (2000)
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References

  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1969The Combination of Forecasts3,194 cited
  • 1989Combining forecasts: A review and annotated bibliography2,170 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 1982The accuracy of extrapolation (time series) methods: Results of a forecasting competition1,465 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1984Improved methods of combining forecasts1,152 cited
  • 1974Experience with Forecasting Univariate Time Series and the Combination of Forecasts849 cited
  • 1998Tests for Forecast Encompassing786 cited
  • 1986Forecasting Economic Time Series714 cited
  • 1983Averages of Forecasts: Some Empirical Results622 cited
  • 1986Econometric Evaluation of Linear Macro-Economic Models601 cited
  • 19968 Forecast evaluation and combination536 cited
  • 1990Comparing Information in Forecasts from Econometric Models427 cited
  • 1972The Prediction Performance of the FRB-MIT-PENN Model of the U.S. Economy399 cited
  • 1993On the limitations of comparing mean square forecast errors

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392 cited

Cited by

  • 2013Panel Data Forecasting43 cited
  • 2006Forecasting traffic accidents using disaggregated data35 cited
  • 2020Stock returns prediction using kernel adaptive filtering within a stock market interdependence approach35 cited
  • 2009Pooling forecasts in linear rational expectations models12 cited