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RECURSIVE FORECAST COMBINATION FORDEPENDENT HETEROGENEOUS DATA

Published online by Cambridge University Press:  30 September 2009

Alessio Sancetta
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Abstract

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This paper studies a procedure to combine individualforecasts that achieve theoretical optimalperformance. The results apply to a wide variety ofloss functions and only require a tail condition onthe data sequences. The theoretical results showthat the bounds are also valid in the case of timevarying combination weights.

Information

Type
Research Article
Information
Econometric Theory , Volume 26 , Issue 2 , April 2010 , pp. 598 - 631
Copyright
Copyright © Cambridge University Press 2009

Footnotes

I am grateful to two anonymous referees and aco-editor for comments that improved the paper inboth content and presentation.

References

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