Serial Correlation and the Combination of Forecasts
- 1 January 1988
- journal article
- research article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 6 (1) , 105-111
- https://doi.org/10.1080/07350015.1988.10509642
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.Keywords
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