Collinearity and the use of latent root regression for combining GNP forecasts
Publication
, Journal Article
Guerard, JB; Clemen, RT
Published in: Journal of Forecasting
January 1, 1989
In combining economic forecasts a problem often faced is that the individual forecasts display some degree of dependence. We discuss latent root regression for combining collinear GNP forecasts. Our results indicate that latent root regression produces more efficient combining weight estimates (regression parameter estimates) than ordinary least squares estimation (OLS), although out‐of‐sample forecasting performance is comparable to OLS. Copyright © 1989 John Wiley & Sons, Ltd.
Duke Scholars
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Published In
Journal of Forecasting
DOI
EISSN
1099-131X
ISSN
0277-6693
Publication Date
January 1, 1989
Volume
8
Issue
3
Start / End Page
231 / 238
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics
Citation
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Guerard, J. B., & Clemen, R. T. (1989). Collinearity and the use of latent root regression for combining GNP forecasts. Journal of Forecasting, 8(3), 231–238. https://doi.org/10.1002/for.3980080308
Guerard, J. B., and R. T. Clemen. “Collinearity and the use of latent root regression for combining GNP forecasts.” Journal of Forecasting 8, no. 3 (January 1, 1989): 231–38. https://doi.org/10.1002/for.3980080308.
Guerard JB, Clemen RT. Collinearity and the use of latent root regression for combining GNP forecasts. Journal of Forecasting. 1989 Jan 1;8(3):231–8.
Guerard, J. B., and R. T. Clemen. “Collinearity and the use of latent root regression for combining GNP forecasts.” Journal of Forecasting, vol. 8, no. 3, Jan. 1989, pp. 231–38. Scopus, doi:10.1002/for.3980080308.
Guerard JB, Clemen RT. Collinearity and the use of latent root regression for combining GNP forecasts. Journal of Forecasting. 1989 Jan 1;8(3):231–238.
Published In
Journal of Forecasting
DOI
EISSN
1099-131X
ISSN
0277-6693
Publication Date
January 1, 1989
Volume
8
Issue
3
Start / End Page
231 / 238
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics