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Combining Forecasts From Nested Models

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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https://doi.org/10.20955/wp.2008.037

https://doi.org/10.1111/j.1468-0084.2009.00547.x