Template-type: ReDIF-Paper 1.0
Author-Name: Alfredo García-Hiernaux
Author-Email: agarciah@ccee.ucm.es
Author-Workplace-Name: Universidad Complutense de Madrid. Department of Quantitative Economics
Title: Forecasting linear dynamical systems using subspace methods
Abstract: A new procedure to predict with subspace methods is presented in this
	paper. It is based on combining multiple forecasts obtained from setting a
	range of values for a specic parameter that is typically xed by the user in
	the subspace methods literature. An algorithm to compute these predictions
	and to obtain a suitable number of combinations is provided. The procedure
	is illustrated by forecasting the German gross domestic product.
Classification-JEL: C53,C22,E27
Keywords: Forecasting, Subspace methods, Combining forecasts.
Length: 16 pages 
Creation-Date: 2009
Number: 2009-02
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0902.txt
File-URL: https://eprints.ucm.es/id/eprint/8588/1/0902.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0902