Modi ed version of short term nancing example in section 3.1 of optimization meth- ods in finance7/12/2023 ![]() In this study, we provide empirical results on the relative accuracy of OLS, ERLS, NRLS and Simple Average (SA) ex ante combined forecasts using three macroeconomic and thirty-seven firm specific series. There is little empirical evidence on the relative peformance of OLS, ERLS and NRLS combination forecasts. In Equality Restricted Least Squares (ERLS) combinations, the weights are restricted to sum to unity, whereas in Nonnegativity Restricted Least Squares (NRLS) combinations, the weights are constrained to be nonnegative. ![]() ![]() Theoretically, the efficiency of OLS combination forecasts can be improved by imposing linear equality or nonnegativity restrictions on the combination weights.
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