Optimal forecast combination under regime switching

• 成果类型: Article
• 署名作者: Elliott, G; Timmermann, A
• 署名单位: University of California System; University of California San Diego
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2005.00361.x
• 发表日期: 2005
• 页码: 1081-1102
• 关键词: predictive accuracy; density forecasts; business-cycle; time-series; weights

摘要

This article proposes a new forecast coin hi nation method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme performs well for a variety of macroeconomic variables. Monte Carlo simulations shed light on the type of data-generating processes for which the proposed combination method call be expected to perform better than a range of alternative combination schemes. Finally, we show how time variations in the combination weights arise when the target variable and the predictors share a common factor structure driven by a hidden Markov process.