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
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.571567&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Evaluating linear and non-linear time-varying forecast-combination methods / by Fuchun Li and Greg Tkacz. |
| Titre de la série | Bank of Canada working paper1701-93972001-12 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Autres formats offerts | Papier-[Anglais] |
| 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. |
| Information sur la publication | Ottawa - Ontario : Bank of Canada July 2001. |
| Description | 24p.references, tables |
| ISSN | 1701-9397 |
| Numéro de catalogue |
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| Descripteurs | Economic forecasting Economic analysis |
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