arXiv 20 Oct 2020 · Econometrics · publishedJournal of Econometrics (2023) · 14 citations (OpenAlex)
arXiv:2010.10435 · PDF · DOI · OpenAlex · Extracted main text
In this paper, we propose a new nonparametric estimator of time-varying forecast combination weights. When the number of individual forecasts is small, we study the asymptotic properties of the local linear estimator. When the number of candidate forecasts exceeds or diverges with the sample size, we consider penalized local linear estimation with the group SCAD penalty. We show that the estimator exhibits the oracle property and correctly selects relevant forecasts with probability approaching one. Simulations indicate that the proposed estimators outperform existing combination schemes when structural changes exist. Two empirical studies on inflation forecasting and equity premium prediction highlight the merits of our approach relative to other popular methods.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Elliott, G., Timmermann, A (2005) Optimal forecast combination under regime switching | 1.000 | 8 | 4 | 100% |
| 2 | Bates, J.M., Granger, C.W (1969) The combination of forecasts | 1.000 | 6 | 3 | 100% |
| 3 | Chen, B., Hong, Y (2012) Testing for smooth structural changes in time series models via nonparametric regression self | 0.928 | 4 | 4 | 100% |
| 4 | Li, D., Ke, Y., Zhang, W (2015) Model selection and structure specification in ultra-high dimensional generalised semi-varying coefficient models | 0.874 | 9 | 6 | 67% |
| 5 | Robinson, P.M (1989) Nonparametric estimation of time-varying parameters | 0.843 | 3 | 3 | 100% |
| 6 | Timmermann, A (2006) Chapter 4 forecast combinations | 0.843 | 3 | 3 | 100% |
| 7 | Cai, Z (2007) Trending time-varying coefficient time series models with serially correlated errors | 0.830 | 7 | 3 | 57% |
| 8 | Rapach, D.E., Strauss, J.K., Zhou, G (2010) Out-of-sample equity premium prediction: Combination forecasts and links to the real economy | 0.811 | 4 | 2 | 100% |
| 9 | Deutsch, M., Granger, C.W., Teräsvirta, T (1994) The combination of forecasts using changing weights | 0.737 | 3 | 2 | 100% |
| 10 | Diebold, F.X., Shin, M (2019) Machine learning for regularized survey forecast combination: Partially-egalitarian lasso and its derivatives | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 49 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2107.12552 | 0.405 | 1 | 1 |
| 2 | Econometrics of Machine Learning Methods in Economic Forecasting | 0.405 | 1 | 1 |