A dynamic factor model framework for forecast combination

• 1 July 1999
• journal article
• Published by Springer Nature in Spanish Economic Review
• Vol. 1  (2) , 91-121
• https://doi.org/10.1007/s101080050005

Abstract

Keywords

• COMBINATION FORECASTS
• PRINCIPAL COMPONENT REGRESSION
• JAMES-STEIN ESTIMATION
• CONDITIONAL EXPECTATION
• TIME SERIES
• REAL TIME COMPUTING
• JAMES STEIN ESTIMATOR