The effect of nonstationarity on combined forecasts
Publication
, Journal Article
Miller, CM; Clemen, RT; Winkler, RL
Published in: International Journal of Forecasting
January 1, 1992
Previous research on the combination of forecasts has, for the most part, implicitly assumed a stationary underlying process so that parameters could be estimated from historical data. While some models weight recent data more heavily in the estimation process in an attempt to provide more accurate parameter estimates in a nonstationary environment, no research to date has specifically examined the effects of nonstationarity on the performance of combining methods. This paper reports the results of a simulation study of the effects of nonstationarity (a shift in the process) on a range of forecast combination methods. Special attention is given to the relative performance of the methods in the time periods around the shift. © 1992.
Duke Scholars
Published In
International Journal of Forecasting
DOI
ISSN
0169-2070
Publication Date
January 1, 1992
Volume
7
Issue
4
Start / End Page
515 / 529
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 1505 Marketing
- 1403 Econometrics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Miller, C. M., Clemen, R. T., & Winkler, R. L. (1992). The effect of nonstationarity on combined forecasts. International Journal of Forecasting, 7(4), 515–529. https://doi.org/10.1016/0169-2070(92)90035-8
Miller, C. M., R. T. Clemen, and R. L. Winkler. “The effect of nonstationarity on combined forecasts.” International Journal of Forecasting 7, no. 4 (January 1, 1992): 515–29. https://doi.org/10.1016/0169-2070(92)90035-8.
Miller CM, Clemen RT, Winkler RL. The effect of nonstationarity on combined forecasts. International Journal of Forecasting. 1992 Jan 1;7(4):515–29.
Miller, C. M., et al. “The effect of nonstationarity on combined forecasts.” International Journal of Forecasting, vol. 7, no. 4, Jan. 1992, pp. 515–29. Scopus, doi:10.1016/0169-2070(92)90035-8.
Miller CM, Clemen RT, Winkler RL. The effect of nonstationarity on combined forecasts. International Journal of Forecasting. 1992 Jan 1;7(4):515–529.
Published In
International Journal of Forecasting
DOI
ISSN
0169-2070
Publication Date
January 1, 1992
Volume
7
Issue
4
Start / End Page
515 / 529
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 1505 Marketing
- 1403 Econometrics
- 0104 Statistics