“…Our approach may be related to the work on forecast combination (Bates & Granger, 1969;Deutsch et al, 1994;Guidolin & Timmermann, 2009;Granger & Ramanathan, 1984;Hoogerheide, Kleijn, Ravazzolo, van Dijk, & Verbeek, 2010, LeSage & Magura, 1992, dimension reduction (Poncela, Rodríguez, Sánchez-Mangas, & Senra, 2011); periodic ARMA models (Basawa & Lund, 2001;Boswijk & Franses, 1996;Franq et al, 2011;Franses & Paap, 2004;Herwartz, 1999;Jones & Brelsford, 1967;Novales & Flores de Frutos, 1997;Osborn & Smith, 1994), panel-data methods (Issler & Lima, 2009). …”