Linear constraints and the efficiency of combined forecasts
作者:
Robert T. Clemen,
期刊:
Journal of Forecasting
(WILEY Available online 1986)
卷期:
Volume 5,
issue 1
页码: 31-38
ISSN:0277-6693
年代: 1986
DOI:10.1002/for.3980050104
出版商: John Wiley&Sons, Ltd.
关键词: Combining forecasts;Regression;Linear constraints;Forecast efficiency;bias
数据来源: WILEY
摘要:
AbstractStudies of combined forecasts have typically constrained the combining weights to sum to one and have not included a constant term in the combination. In a recent paper, Granger and Ramanathan (1984) have argued in favour of an unrestricted linear combination, including a constant term. This paper shows that for the purpose of prediction it may make sense to impose restrictions on the combining model because of potential increases in forecasting efficiency. Empirical results show that small gains in forecasting efficiency can be obtained by restricting the linear combination of GNP forecasts from four econometric models.
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