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Linear constraints and the efficiency of combined forecasts

Publication ,  Journal Article
Clemen, RT
Published in: Journal of Forecasting
January 1, 1986

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.

Duke Scholars

Published In

Journal of Forecasting

DOI

EISSN

1099-131X

ISSN

0277-6693

Publication Date

January 1, 1986

Volume

5

Issue

1

Start / End Page

31 / 38

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 1403 Econometrics
  • 0104 Statistics
 

Citation

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MLA
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Clemen, R. T. (1986). Linear constraints and the efficiency of combined forecasts. Journal of Forecasting, 5(1), 31–38. https://doi.org/10.1002/for.3980050104
Clemen, R. T. “Linear constraints and the efficiency of combined forecasts.” Journal of Forecasting 5, no. 1 (January 1, 1986): 31–38. https://doi.org/10.1002/for.3980050104.
Clemen RT. Linear constraints and the efficiency of combined forecasts. Journal of Forecasting. 1986 Jan 1;5(1):31–8.
Clemen, R. T. “Linear constraints and the efficiency of combined forecasts.” Journal of Forecasting, vol. 5, no. 1, Jan. 1986, pp. 31–38. Scopus, doi:10.1002/for.3980050104.
Clemen RT. Linear constraints and the efficiency of combined forecasts. Journal of Forecasting. 1986 Jan 1;5(1):31–38.
Journal cover image

Published In

Journal of Forecasting

DOI

EISSN

1099-131X

ISSN

0277-6693

Publication Date

January 1, 1986

Volume

5

Issue

1

Start / End Page

31 / 38

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 1403 Econometrics
  • 0104 Statistics