Linear constraints and the efficiency of combined forecasts

Published

Journal Article

Studies of combined forecasts have typically constrained the combining weights to sum to one and have not included a constant term in the combination. In a recent paper, Granger and Ramanathan (1984) have argued in favour of an unrestricted linear combination, including a constant term. This paper shows that for the purpose of prediction it may make sense to impose restrictions on the combining model because of potential increases in forecasting efficiency. Empirical results show that small gains in forecasting efficiency can be obtained by restricting the linear combination of GNP forecasts from four econometric models. Copyright © 1986 John Wiley & Sons, Ltd.

Full Text

Duke Authors

Cited Authors

  • Clemen, RT

Published Date

  • January 1, 1986

Published In

Volume / Issue

  • 5 / 1

Start / End Page

  • 31 - 38

Electronic International Standard Serial Number (EISSN)

  • 1099-131X

International Standard Serial Number (ISSN)

  • 0277-6693

Digital Object Identifier (DOI)

  • 10.1002/for.3980050104

Citation Source

  • Scopus