English, Article edition: FORCASCOMB: MATLAB function to combine forecasts of various models Shapour Mohammadi

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Bookmark: http://trove.nla.gov.au/version/22743
Physical Description
  • code
Language
  • English

Edition details

Title
  • FORCASCOMB: MATLAB function to combine forecasts of various models
Author
  • Shapour Mohammadi
Physical Description
  • code
Notes
  • The code combines forecasts of various models based on minimization variance of combined forecast. This algorithm uses a logic similar to portfolio optimization. In Hendry and Clements(1998, p. 229) this method titled as Variance-Covariance method.
  • Forecast combination, Minimum variance combination, Variance-Covariance method of combination
  • RePEc:boc:bocode:t741508
Language
  • English
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