The influence of the variance-covariance structure on the performance of forecast combining techniques

Matthias Klapper

No 1998,39, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We simulate forecast errors with different variance-covariance structures based on macroeconomic data. The simulations are used to compare the performance of different forecast combining techniques.

Keywords: Variance-covariance structure; simulation; combination of forecasts (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:199839

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