OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING*
提出一种新的预测组合方法，让组合权重由潜在状态变量的体制转换驱动。实证表明该方法对多种宏观经济变量表现良好，蒙特卡洛模拟揭示了其优于其他组合方案的数据生成过程类型。
This article proposes a new forecast combination method that lets the combination weights be driven by regime switching in a latent state variable. An empirical application that combines forecasts from survey data and time series models finds that the proposed regime switching combination scheme performs well for a variety of macroeconomic variables. Monte Carlo simulations shed light on the type of data‐generating processes for which the proposed combination method can be expected to perform better than a range of alternative combination schemes. Finally, we show how time variations in the combination weights arise when the target variable and the predictors share a common factor structure driven by a hidden Markov process.