COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS

By Yuhong Yang. Econometric Theory, 2004

237 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/074facc82a46a8338fbfaa07b421a5faed34ea42

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Citations in the corpus

Weighted‐Average Least Squares (WALS): A Survey (2016, methodology): “In the context of prediction, Hansen (2008) extended the idea of Mallows model averaging to forecast combinations, while Yang (2004), Zou and Yang (2004), and Zhang et al. (2013a) developed combining forecasting procedures for time-series models.”
Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models (2003, background): “The weighting scheme wkt is proposed in Yang (2002). Intuitively, wkt gives a large weight to model k at period t when it forecasted well at period t − 1, and gives a small weight to model k at period t when it forecasted poorly at period t − 1.”
How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation (2005, unknown): “…to theM largest estimated factors of a factor model, where M is treated as fixed, as well as when bagging is applied to 3In related work, Lee and Yang (2004) study the properties of bagging in binary prediction problems and quantile prediction of economic time series data. the regressors of a…”
Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects (2014, background): “It is important to outline that a forecast combination targets either to follow the trend of the best individual forecast (‘combining for adaptation’) or to significantly outperform each one of them (‘combining for improvement’) (Yang, 2004).”