Journal of Forecasting · 1993 · 48 citations · 10 references
BusinessBusiness EconomicsEconometricsForecastingTime Series AnalysisEconomic ForecastingForecast CombinationForecasting MethodsTime Series ForecastingTime Series ModelingTime Series PredictionCombining ForecastsDependent VariablesDynamic Forecast CombinationDynamic Forecasting ModelsLag SpecificationLagged Dependent Variable ModelsNonstationary Time Series ForecastingRegression-based Forecast Combination
Abstract We examine the implications of allowing lags into forecast combination regressions, thereby extending previous models. The practical conclusion is that lagged dependent variables, but not lagged forecasts, improve forecast combination procedures. Also, improvements are obtained when nonstationarity of the data is recognized.
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