Combining algorithms based on robust estimation techniques and co‐integrating restrictions
- 1 July 1989
- journal article
- research article
- Published by Wiley in Journal of Forecasting
- Vol. 8 (3), 189-198
- https://doi.org/10.1002/for.3980080305
Abstract
This paper will motivate alternative combining schemes, provide a statistic for comparing alternative combinations out‐of‐sample and provide an example demonstrating these techniques. The evidence suggests the proposed procedures are likely to do no worse than other approaches and promise to do better under circumstances commonly encountered with economic data: integrated series and contaminated data.Keywords
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