Forecast combination through dimension reduction techniques

Pilar Poncela, Julio Rodríguez, Rocío Sánchez-Mangas and Eva Senra

International Journal of Forecasting, 2011, vol. 27, issue 2, 224-237

Abstract: This paper considers several methods of producing a single forecast from several individual ones. We compare “standard” but hard to beat combination schemes (such as the average of forecasts at each period, or consensus forecast and OLS-based combination schemes) with more sophisticated alternatives that involve dimension reduction techniques. Specifically, we consider principal components, dynamic factor models, partial least squares and sliced inverse regression.

Keywords: Combining forecasts; Factor analysis; PLS; Principal components; SIR; Survey of Professional Forecasters (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:27:y:2011:i:2:p:224-237

DOI: 10.1016/j.ijforecast.2010.01.012

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