Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.matcom.2010.03.010
Title: Comparison of forecasting methods with an application to predicting excess equity premium
Authors: Hsiao, C. 
Wan, S.K.
Keywords: Forecast combination
Issue Date: Mar-2011
Citation: Hsiao, C., Wan, S.K. (2011-03). Comparison of forecasting methods with an application to predicting excess equity premium. Mathematics and Computers in Simulation 81 (7) : 1235-1246. ScholarBank@NUS Repository. https://doi.org/10.1016/j.matcom.2010.03.010
Abstract: This paper reviews various forecast methods including combination using theoretically optimal weights and those under model selection approaches. In addition, we suggest two modified simple averaging forecast combination methods - a mean corrected and a mean and scale corrected method. We conclude that due to the fact that real data is usually subject to structural breaks, rolling forecasting scheme has a better performance than fixed window and continuously updating scheme. In addition, methods that use less information appear to perform better than methods using all the sample information about the covariance structure of the available forecasts. The mean and scale corrected simple average approach yield smaller mean squared forecast error than the three widely used regression approaches suggested by Granger and Ramanathan [11]. © 2010 IMACS. Published by Elsevier B.V. All rights reserved.
Source Title: Mathematics and Computers in Simulation
URI: http://scholarbank.nus.edu.sg/handle/10635/124966
ISSN: 03784754
DOI: 10.1016/j.matcom.2010.03.010
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