Supplement to "Forecasting with Model Uncertainty: Representations and Risk Reduction"

This supplementary material introduces some alternative procedures to the ones considered in the main text, and provides extended numerical comparisons of local asymptotic risk among the various methods. It also conducts a small Monte Carlo study of finite-sample risk, and provides a comparison of shrinkage factors for a number of the procedures.

Supplemental Authors: 
Hirano, Keisuke - Pennsylvania State University
Wright, Jonathan H. - Johns Hopkins University
Online Appendix