The economic and statistical value of forecast combinations under regime switching
Subtitle: an application to predictable us returns
By: Massimo Guidolin and Carrie Fangzhou Na
Contributors: Na, Carrie Fangzhou; Federal Reserve Bank of St. Louis
Series: Working paper -- 2006-059A; Working paper (Federal Reserve Bank of St. Louis : Online) -- 2006-059A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2006
Place of publication: St. Louis, Mo.]
Language: eng
Format: [electronic resource] :
Description: "We address one interesting case "the predictability of excess US asset returns from macroeconomic factors within a flexible regime switching VAR framework" in which the presence of regimes may lead to superior forecasting performance from forecast combinations.  After having documented that forecast combinations provide gains in prediction accuracy and these gains are statistically significant, we show that combinations may substantially improve portfolio selection.  We find that the best performing forecast combinations are those that either avoid estimating the pooling weights or that minimize the need for estimation.  In practice, we report that the best performing combination schemes are based on the principle of relative, past forecasting performance.  The economic gains from combining forecasts in portfolio management applications appear to be large"--Federal Reserve Bank of St. Louis web site.
Notes: Title from PDF file as viewed on 11/13/2006.

Includes bibliographical references.

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