Description Usage Arguments Details Value Author(s) References See Also Examples

Computes forecast combination weights using simple average and produces forecasts for the test set, if provided.

1 | ```
comb_SA(x)
``` |

`x` |
An object of class |

Suppose *y_t* is the variable of interest, there are *N* not perfectly collinear predictors,
*f_t = (f_{1t}, …, f_{Nt})'*. The simple average gives equal weights to all predictors:

*w = 1/N*

The combined forecast is then obtained by:

*\hat{y}_t = (f_t)'w*

It is well-documented that simple average is a robust combination method that is hard to beat (e.g., Stock and Watson, 2004; Timmermann, 2006). This is often associated with the importance of parameter estimation error in sophisticated techniques – a problem that simple averaging avoids. However, simple averaging may not be a suitable combination method when some of the predictors are biased (Palm and Zellner, 1992).

Returns an object of class `foreccomb_res`

with the following components:

`Method` |
Returns the used forecast combination method. |

`Models` |
Returns the individual input models that were used for the forecast combinations. |

`Weights` |
Returns the combination weights obtained by applying the combination method to the training set. |

`Fitted` |
Returns the fitted values of the combination method for the training set. |

`Accuracy_Train` |
Returns range of summary measures of the forecast accuracy for the training set. |

`Forecasts_Test` |
Returns forecasts produced by the combination method for the test set. Only returned if input included a forecast matrix for the test set. |

`Accuracy_Test` |
Returns range of summary measures of the forecast accuracy for the test set. Only returned if input included a forecast matrix and a vector of actual values for the test set. |

`Input_Data` |
Returns the data forwarded to the method. |

Christoph E. Weiss and Gernot R. Roetzer

Palm, F. C., and Zellner, A. (1992). To Combine or not to Combine? Issues of Combining Forecasts. *Journal of Forecasting*, **11(8)**, 687–701.

Stock, J. H., and Watson, M. W. (2004). Combination Forecasts of Output Growth in a Seven-Country Data Set. *Journal of Forecasting*, **23(6)**,
405–430.

Timmermann, A. (2006). Forecast Combinations. In: Elliott, G., Granger, C. W. J., and Timmermann, A. (Eds.), *Handbook of Economic Forecasting*,
**1**, 135–196.

`foreccomb`

,
`plot.foreccomb_res`

,
`summary.foreccomb_res`

,
`accuracy`

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