Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms
作者： Yongchen Zhao
DOI: 10.1007/S00181-020-01864-W
关键词:
摘要: In this paper, we study the behavior and effectiveness of several recently developed forecast combination algorithms in simulated unstable environments, where performances individual forecasters are cross-sectionally heterogeneous dynamically evolving. Our results clearly reveal how different respond to structural instabilities origin, frequency, magnitude. Accordingly, propose an improved procedure demonstrate its a real-time exercise using U.S. Survey Professional Forecasters.
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