Evaluating linear and non-linear time-varying forecast-combination methods / by Fuchun Li and Greg Tkacz. : FB3-2/101-12E
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 | Working paper1192-54342001-12 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[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. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 2001. |
| Binding | Softcover |
| Description | v, 15p. : figs., graphs, references ; 28 cm. |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Economic forecasting Economic analysis |
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