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Combining algorithms based on robust estimation techniques and co‐integrating restrictions
Author(s) -
Hallman J.,
Kamstra M.
Publication year - 1989
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980080305
Subject(s) - computer science , statistic , series (stratigraphy) , estimation , data mining , sample (material) , econometrics , machine learning , algorithm , statistics , mathematics , economics , paleontology , biology , chemistry , management , chromatography
This paper will motivate alternative combining schemes, provide a statistic for comparing alternative combinations out‐of‐sample and provide an example demonstrating these techniques. The evidence suggests the proposed procedures are likely to do no worse than other approaches and promise to do better under circumstances commonly encountered with economic data: integrated series and contaminated data.