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Home > Working Papers

Working Paper 2008-037A

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"Combining Forecasts From Nested Models"
by Todd E. Clark, and Michael W. McCracken

Motivated by the common finding that linear autoregressive models often forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models.

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Category > Applied Econometrics
Author > Michael W. McCracken
Research Papers and Publications: JEL Code > C53
Research Papers and Publications: JEL Code > C52


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