Combining forecasts using optimal combination weight and generalized autoregression

Jeong-Ryeol Kurz-Kim
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Jeong-Ryeol Kurz-Kim: Deutsche Bundesbank, Frankfurt am Main, Germany, Postal: Deutsche Bundesbank, Frankfurt am Main, Germany

Journal of Forecasting, 2008, vol. 27, issue 5, 419-432

Abstract: In this paper, we consider a combined forecast using an optimal combination weight in a generalized autoregression framework. The generalized autoregression provides not only a combined forecast but also an optimal combination weight for combining forecasts. By simulation, we find that short- and medium-horizon (as well as partly long-horizon) forecasts from the generalized autoregression using the optimal combination weight are more efficient than those from the usual autoregression in terms of the mean-squared forecast error. An empirical application with US gross domestic product confirms the simulation result. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:27:y:2008:i:5:p:419-432

DOI: 10.1002/for.1069

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