Forecast averaging
Posted: Wed May 29, 2019 5:07 am
My forecasts are recursively estimated. Therefore, I think it is reasonable to adjust the training sample for forecast averaging.
Is there an easy command to do this:
Or do I need to average every period individually with a loop over training sample? e.g. adjusting the training sample for every new forecast quarter?
Is there an easy command to do this:
Code: Select all
for %weight mse ranks
smpl 2013.1 2018.1
GDP.forcavg(name=test_{%weight}, wgttype={%weight},trainsmpl="2010Q1 2012Q4") GDP_f*
next
Or do I need to average every period individually with a loop over training sample? e.g. adjusting the training sample for every new forecast quarter?