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Evaluating linear and non-linear time-varying forecast-combination methods / by Fuchun Li and Greg Tkacz.: FB3-2/101-12E

This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters. A Monte Carlo simulation study is performed to compare the performance of the different weighting schemes.--Abstract

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.615728&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleEvaluating linear and non-linear time-varying forecast-combination methods / by Fuchun Li and Greg Tkacz.
Series title
  • Working paper 1192-5434 2001-12
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital text-[English]
Note(s)
  • "This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters. A Monte Carlo simulation study is performed to compare the performance of the different weighting schemes."--Abstract.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 2001.
BindingSoftcover
Descriptionv, 15p. : figs., graphs, references ; 28 cm.
ISSN1192-5434
Catalogue number
  • FB3-2/101-12E
Subject terms
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