The usefulness of heuristic N(E)RLS algorithms for combining forecasts

Journal of Forecasting

Volumn 16, Issue 6, 1997, Pages 439-462

  Gunter, Sevket I ^a,c   Aksu, Celal ^b  

^a Teknix Inc   (United States)

^b KOÇ UNIVERSITY   (Turkey)

^c Koç University ^*

Author keywords

Branch and bound; Forecast accuracy; Inequality restricted least squares; Quadratic programming; Time series methods

Indexed keywords

EID: 0038785220     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1099-131x(199711)16:6<439::aid-for624>3.0.co;2-8     Document Type: Article

References (24)

1. Aksu, C. and Gunter, S. I., 'An empirical analysis of the accuracy of SA, OLS, ERLS and NRLS combination forecasts', International Journal of Forecasting, 8 (1992), 27-43.
2. Aksu, C. and Gunter, S. I., 'Efficiency of combinations of forecasts using inequality restricted least squares', Economic and Financial Modelling, 1 (1994), 47-60.
3. Armstrong, R. D. and Frome, E. L., 'A branch-and-bound solution of a restricted least squares problem', Technometrics, 18 (1976), 447-50.
4. Brown, L. D. and Rozeff, M. S., 'Univariate time series models of quarterly accounting earnings per share: A proposed model', Journal of Accounting Research, 17 (1979), 179-89.
5. Clemen, R. T., 'Linear constraints and the efficiency of combined forecasts', Journal of Forecasting, 5 (1986), 31-8.
6. Davidon, W. C., 'Variable metric methods for minimization', A.E.C. Res. and Develop. Report ANL-5990, Argonne National Laboratory, Argonne, Illinois, 1959.
7. Griffin, P. A., 'The time-series behavior of quarterly earnings: Preliminary evidence', Journal of Accounting Research, 15 (1977), 71-83.
8. Gunter, S. I., 'Non-negativity restricted least squares combinations', International Journal of Forecasting, 8 (1992), 45-59.
9. Gunter, S. I., 'An alternative measure for evaluating the accuracy of combined forecasts', Working Paper, Temple University, School of Business and Management, Philadelphia, PA, 1995.
10. Gunter, S. I. and Aksu, C., 'On the efficiency of non-negativity constrained combinations of forecasts', paper presented at Ninth International Symposium on Forecasting, Vancouver, Canada, 1989.
11. Hadley, G., Nonlinear and Dynamic Programming, Reading, MA: Addison-Wesley, 1964.
12. Judge, G. G. and Yancey, T. A., Improved Methods of Inference in Econometrics, in Theil, H. and Glejser, H. (eds), Studies in Mathematical and Managerial Economics Series, Amsterdam: North-Holland, 1986.
13. Lemke, C. E., 'A method of solution for quadratic programs', Management Science, 8 (1962), 442-53.
14. Liew, C. K. and Shim, J. K., 'A computer program for inequality constrained least squares estimation', Econometrica, 46 (1978), 237.
15. Lovell, M.C. and Prescott, E., 'Multiple regression with inequality constraints: Pretesting bias, hypothesis testing and efficiency', Journal of the American Statistical Association, 65 (1970), 913-25.
16. Murtagh, B. A. and Saunders, M. A., MINOS 5.0 User's Guide, Report SOL 83-20, Department of Operations Research, Stanford University, Stanford, CA, 1982.
17. Newbold, P., Zumwalt, J. K. and Kannan, S., 'Combining forecasts to improve earnings per share prediction: An examination of electric utilities', International Journal of Forecasting, 3 (1987), 229-38.
18. Skarpness, B. O. and Escobar, L. A., 'A closed form solution for the least squares regression problem with an arbitrary number of linear inequality constraints on the parameters', Proceedings of the Business and Economic Statistics Section, American Statistical Association (1987), pp. 385-8.
19. Thomson, M., 'Some results on the statistical properties of an inequality constrained least squares estimator in a linear model with two regressors', Journal of Econometrics, 19 (1982), 215-31.
20. Thomson, M. and Schmidt, P., 'A note on the comparison of the mean square error of inequality constrained least squares and other related estimators', Review of Economics and Statistics, 64 (1982), 174-6.
21. Trenkler, G. and Liski, E. P., 'Linear constraints and the efficiency of combined forecasts', Journal of Forecasting, 5 (1986), 197-202.
22. Watts, R. L., 'The time-series behavior of quarterly earnings', Research Paper, Department of Commerce, University of Newcastle, Newcastle, 1975.
23. Wolfe, P., 'The reduced-gradient method', unpublished manuscript, RAND Corporation, 1962.
24. Zellner, A., 'Linear regression with inequality constraints on the coefficients: An application of quadratic programming and linear decision rules', Report No. 6109, International Center for Management Science, Rotterdam, 1961.