RDP 2008-02: Combining Multivariate Density Forecasts Using Predictive Criteria
Equation (13)
p
t
(
z
t
+
h
)
=
p
t
(
z
3
,
t
+
h
|
z
2
,
t
+
h
,
z
1
,
t
+
h
)
p
t
(
z
2
,
t
+
h
|
z
1
,
t
+
h
)
p
t
(
z
1
,
t
+
h
)
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