Multistep Forecast Averaging with Stochastic and Deterministic Trends
This paper presents a new approach to constructing multistep combination forecasts in a nonstationary framework with stochastic and deterministic trends. Existing forecast combination approaches in the stationary setup typically target the in-sample asymptotic mean squared error (AMSE), relying on i...
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| Autors principals: | , , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2023-12-01
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| Col·lecció: | Econometrics |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2225-1146/11/4/28 |
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