Combining Forecasts from Nested Models
针对线性自回归模型常优于含额外信息模型的现象，本文提出组合嵌套模型预测的方法，推导均方误差最小化权重，并通过蒙特卡洛和实证分析验证其有效性。
Abstract Motivated by the common finding that linear autoregressive models often forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but a subset of the coefficients is treated as being local‐to‐zero. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive mean square error‐minimizing weights for combining the restricted and unrestricted forecasts. Monte Carlo and empirical analyses verify the practical effectiveness of our combination approach.