Evaluating linear and non-linear time-varying forecast-combination methods / by Fuchun Li and Greg Tkacz. : FB3-2/101-12E-PDF
This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters. A Monte Carlo simulation study is performed to compare the performance of the different weighting schemes.--Abstract
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Evaluating linear and non-linear time-varying forecast-combination methods / by Fuchun Li and Greg Tkacz. |
| Series title | Bank of Canada working paper1701-93972001-12 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters. A Monte Carlo simulation study is performed to compare the performance of the different weighting schemes."--Abstract. The ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada July 2001. |
| Description | 24p.references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
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| Subject terms | Economic forecasting Economic analysis |