Forecast Combination Methods
Automated Forecast Combination
Bates/Granger (1969) Forecast Combination Approach
Constrained Least Squares Forecast Combination
All Possible Combinations Forecast Averaging
Standard Eigenvector Forecast Combination
Bias-Corrected Eigenvector Forecast Combination
Trimmed Eigenvector Forecast Combination
Trimmed Bias-Corrected Eigenvector Forecast Combination
Inverse Rank Forecast Combination
Least Absolute Deviation Forecast Combination
Median Forecast Combination
Newbold/Granger (1974) Forecast Combination
Ordinary Least Squares Forecast Combination
Simple Average Forecast Combination
Trimmed Mean Forecast Combination
Winsorized Mean Forecast Combination
Compute Cross-Sectional Dispersion
Format Raw Data for Forecast Combination
Result Rbject for the Forecast Combination Methods
Plot results from forecast combination model
Prediction function for Forecast Combinations
Dynamic Forecast Combination
Summary of Forecast Combination
Provides geometric- and regression-based forecast combination methods under a unified user interface for the packages 'ForecastCombinations' and 'GeomComb'. Additionally, updated tools and convenience functions for data pre-processing are available in order to deal with common problems in forecast combination (missingness, collinearity). For method details see Hsiao C, Wan SK (2014). <doi:10.1016/j.jeconom.2013.11.003>, Hansen BE (2007). <doi:10.1111/j.1468-0262.2007.00785.x>, Elliott G, Gargano A, Timmermann A (2013). <doi:10.1016/j.jeconom.2013.04.017>, and Clemen RT (1989). <doi:10.1016/0169-2070(89)90012-5>.