Forecast Combination and Encompassing

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Macroeconomic Forecasting With Mixed-Frequency Data (2008, methodology): “5 compares the multiple-indicator model forecasts with combinations of individual model forecasts, motivated by the vast literature attesting to the usefulness of forecast combination (see the recent reviews of Diebold and Lopez 1996; Newbold and Harvey 2002; Timmermann 2006; Clements and Harvey 200”
Combining day-ahead forecasts for British electricity prices (2013, methodology): “In the research literature, several formulations of encompassing test have been suggested (Clements and Harvey, 2007; Newbold and Harvey, 2004); here we adopted the specification given by Harvey et al.”
To Combine Forecasts or to Combine Information? (2010, background): “See Diebold (1989), Newbold and Harvey (2001) , among others.”
Forecast combinations: An over 50-year review (2022, methodology): “estimation of combination weights, but with the weights being shrunk toward some prior mean under a regression-based combination framework (Newbold and Harvey, 2004).”
Forecast combination and the Bank of England’s suite of statistical forecasting models (2008, unknown): “While there is evidence that non-linear models can t better than linear speci cations, it is unclear how adequate they are for forecasting, although Pagan (2003) suggested they may be useful at long horizons.”