Abstract
AbstractIn this paper, we consider a combined forecast using an optimal combination weight in a generalized autoregression framework. The generalized autoregression provides not only a combined forecast but also an optimal combination weight for combining forecasts. By simulation, we find that short‐ and medium‐horizon (as well as partly long‐horizon) forecasts from the generalized autoregression using the optimal combination weight are more efficient than those from the usual autoregression in terms of the mean‐squared forecast error. An empirical application with US gross domestic product confirms the simulation result. Copyright © 2008 John Wiley & Sons, Ltd.
Sign-in/Register to access full text options 
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
