Abstract

AbstractIn combining economic forecasts a problem often faced is that the individual forecasts display some degree of dependence. We discuss latent root regression for combining collinear GNP forecasts. Our results indicate that latent root regression produces more efficient combining weight estimates (regression parameter estimates) than ordinary least squares estimation (OLS), although out‐of‐sample forecasting performance is comparable to OLS.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call