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yzhao -- Just ignore Gareth. We do.

Not a problem. I should have given it more thought before asking :)

Thanks for the answer to the second question. I was being stupid with the first thing. I was in Stata mode and thought I must explicitly declare an option optional or mandatory...

Thanks. :)

By the way, how can I make an equaloption optional and set a default value (like in many built-in procs)? Also, I thought you said that there is a way to show "secondary" dialog box depending on what users check in the "primary" dialog box. Do you mind telling me again?

I tried your code and indeed elements in the two vectors are in opposite order. But please see the attached screenshot. If I'm understanding the MSE table correctly, what the table gives are the in-sample MSEs, i.e., ones that are used to derive the weights. So, a larger MSE should mean a smaller we...

Now that you are saying it out loud, it actually makes a lot of sense... Somehow when I was looking at them I wasn't able to see a reason. :oops: One minor suggestion: Is there anyway to easily match weights in the vector to the series names? It seems that weights in the vector is sorted, and is not...

Thank you for the quick response! One other thing I noticed today: If I run the following command, trying to get only an in-sample combination by setting the forecast sample to equal training sample (I know it's kind of cheating...), I get combined forecasts beyond my forecast sample, but the foreca...

That makes sense for sure. Thank you! Pardon me since I'm really new to this feature. But when I tried the simple median method using the dialog box, I get the error saying that I need a training sample - but the text box for entering a training sample is disabled (greyed out). Please see the two sc...

Hello, I was trying out the new forecast combination procedures today and noticed some rather strange behavior, as shown in the attached screenshot, namely, MSE table and graph show nothing but zeros. In the attached workfile, c0act is the actual value, c0n??? are individual forecast series, and c0f...