skip to content

Faculty of Economics

Journal Cover

Pesaran, M.H. and Pick, A.

Forecast combination across estimation windows

Journal of Business and Economic Statistics

Vol. 29(2) pp. 307-318 (2011)

Abstract: In this article we consider combining forecasts generated from the same model but over different estimation windows. We develop theoretical results for random walks with breaks in the drift and volatility and for a linear regression model with a break in the slope parameter. Averaging forecasts over different estimation windows leads to a lower bias and root mean square forecast error (RMSFE) compared with forecasts based on a single estimation window for all but the smallest breaks. An application to weekly returns on 20 equity index futures shows that averaging forecasts over estimation windows leads to a smaller RMSFE than some competing methods.

JEL Codes: G17

Author links: M. Hashem Pesaran  

Publisher's Link: http://www.tandfonline.com/doi/abs/10.1198/jbes.2010.09018#.Ui7sHj9gmmw



Papers and Publications



Recent Publications


Carvalho, V. M., Nirei, M., Saito, Y. U. and Tahbaz-Salehi, A. Supply Chain Disruptions: Evidence from the Great East Japan Earthquake Quarterly Journal of Economics, forthcoming [2021]

Carvalho, V. M. and Grassi, B. Large Firm Dynamics and the Business Cycle American Economic Review [2019]

Giannitsarou, C., Kissler, S. and Toxvaerd, F. Waning Immunity and the Second Wave: Some Projections for SARS-CoV-2 American Economic Review: Insights, forthcoming [2021]

Cavalcanti, T. and Santos, M. (Mis)Allocation Effects of an Overpaid Public Sector Journal of the European Economic Association [2020]