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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

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.571567&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleEvaluating linear and non-linear time-varying forecast-combination methods / by Fuchun Li and Greg Tkacz.
Series title
  • Bank of Canada working paper 1701-9397 2001-12
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Other formatsPhysical text-[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.
Description24p.references, tables
ISSN1701-9397
Catalogue number
  • FB3-2/101-12E-PDF
Subject terms
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