FORCASCOMB: MATLAB function to combine forecasts of various models

Shapour Mohammadi

Statistical Software Components from Boston College Department of Economics

Abstract: The code combines forecasts of various models based on minimization variance of combined forecast. This algorithm uses a logic similar to portfolio optimization. In Hendry and Clements(1998, p. 229) this method titled as Variance-Covariance method.

Language: MATLAB
Requires: MATLAB
Keywords: Forecast combination; Minimum variance combination; Variance-Covariance method of combination (search for similar items in EconPapers)
Date: 2009-07-16
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http://fmwww.bc.edu/repec/bocode/f/forcascomb.m program file (text/plain)

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